You should be able to burn them from within itunes.....go to file and create new playlist, then add songs to that playlist. Insert a blank cd, and then click the top right icon in itunes (sometimes its a browsing eye, if there is a blank cd inserted more like a radioactive sign). You can choose wether you want it as an mp3 or an audio cd in the preferences/burning.
Have you burnt a cd on your pc before? if not perhaps the drivers for the writer arent installed?
Ok in that case, right click on "my computer", go to the tab "hardware", in here click "device manager".
Look for dvd/cdrom drives, open this to see the name of your cd writer/model. Download the drivers from the internet for it (usually on the manufacturers website, or drivers.com)...then when downloaded, install them.
To doa test tosee if your cd writer is set up anyway, just put a blank cd in, open "my computer", open the dvd/cd drive and drag an item into it to see if you can burn a disc.