CD-RW disks are 'rewriteable'. (i.e. you can wipe the entire contents and start again). The idea sounds good in theory but can lead to problems in practice. They're also dearer than normal CD-R disks, which is what I would have recommended. They'll
probably work OK (but I'm giving no guarantees, as I've never tried it). If you've got a Poundland (or similar discount store) nearby, I'd still suggest purchasing some cheap CD-R disks. (It shouldn't matter whether they're designated as 'audio' or not. The 'data'/'audio' choice is made when you burn the disk, not by the manufacturer). Try a CD-RW disk first though anyway; it can't do any harm.
The instructions you need are here:
http://windows.microsoft.com/en-gb/windows-vista/burn-a-cd-or-dvd-in-windows-media-player
(Click on 'Burn an audio CD').