IFTB
If your using WinXP you don't need any other software - Windows Media Player automatically does the conversion for you when you select 'Copy to Audio CD'
Hope this helps.
Oh, if you are downloading music from P2P some MP3 tracks might be rejected by Nero, WMP etc - try converting them to WMA files using a program like
MP3Decode - you should then have no problem transferring them to CD.