You need to rip the CD tracks to MP3 format. That is convert the CDA file on the CD to MP3 files.
Then burn the MP3 files to your CDR using the audio copy application.
R u just trying to copy a cd direct or r u making a compilation from stuff u have downloaded? And Ray wot happens if they don'thave an mp3 player, they might want to play their cd's somewhere else rather than their pc?