AOG
Try this...
Right click on the start button, then click 'Explore'.
Then navigate to the folder with your music files, click on the first one with your left mouse button, then move your mouse over the next one and whilst holding down the Ctrl button, click the left mouse button.
Keep repeating this until you have all the files selected...the next bit I'm going to guess - because whilst I have Media Player, I don't use it as a music solution, but this SHOULD work...
With all the files selected, you then should be able to right click, which will give you a menu. One of the menu options should be something like 'Open with....' and you should then be able to open the files (all of them) with Windows Media Player.
Once the Media Player window opens, you will have a 'Now Playing' playlist which will contain all the files you've selected. You can use 'drap and drop' at this point to set them in the order you want to burn them. At the top of the Windows Media Player screen is a 'burn' button...I think by hitting that, you can burn the current playlist.
You can also save the 'Now Playing' playlist with a name, which is useful...because once you come out of Media Player, the 'Now Playing' playlist is lost.