If it's e.g. to play in the car, be aware that some car stereos will not accept "burned" discs as an anti-piracy measure. Yes, it's silly.
Apart from that, I second the Windows Media Player idea.
Here's a tutorial for the Windows 7 version, and you may be able to find more details for other versions on the same Microsoft site. Don't go near iTunes unless you have to i.e. you have an Apple iPod - it's a pig.