Or a computer!!
But seriously, all you have to do is burn the music as WAV files to the CD. If you start with MP3's or something like that, you'll need to convert them to wav's. ImToo CD ripper is good for this. Burn the wav's and make sure the disc is finalised, or not multisession, and your new CD should play on almost everything.
You do not need to convert them 2 wavs. Just use your cd writing software that came with your writer. Choose to burn an audio cd then drag and drop or add files (MP3's will work) to the cd using the software.