I have done that using the built in Windows Sound Recorder. Open the WAV file and play it. When you get the part you want, you can isolate it by deleting all in front and all after and then do a SAVE AS and give it a new *.WAV name. Do not save the changed original.
Open it again and isolate the next part you want in the same way and save it as *2.WAV. Now you have two WAV files. Keep doing that until you get all the ones you want as separate WAV files.
Next, you then take those and using CD burner software, create a Music CD. It will automatically convert those WAV files into audio tracks and burn them to a CDR.
The burnware is not necessarily free.