Here's a little plug-in for Windows Media Player 9.
Once it's installed when you go to the copy to device tab of wmp9 tick on the tracks you want to record. On the right hand side of the screen is a drop down menu which will show 'Nero Burning...'
Select that then click on copy. It'll convert your mp3 files to ordinary CD audio files as it sends them to your recordable disc.
Plugin for WMP9
The copy function on WMP9 will do it but this plug in seems a bit quicker.