Have never burned CDs, but I assume I would take our CD player (which i'm pretty sure has a burning mode), plug it in to my computer, and look up "how to burn CDs"
You need a CD-R, CD-RW, DVD-R, or DVD-RW drive in your computer, or externally to write to any of those formats. A DVD-RW can write, or burn (because the laser is literally burning the information onto the disk) to all four formats of disk.
Some computer CD drives (They were called Burners at the start, but near the end most CD-rom drives would also burn CDs) would do it with software. It would eventually be nearly as easy as copying data to a USB drive.
Chances are you could put in a blank disc and the computer will present a folder as a representation of the disc. Copy whatever into the folder and click the burn button on the top right of the folder