As posted above, depending on what CD burning software you are using, you may or may not need to convert mp3 to wav before burning... most relatively new cd burning software can read mp3's directly (Nero, EZCD, etc ) so no converting beforehand required...
But if you have to convert, there are many programs that do this... Winamp does this also, just change the output option to "To Disk" instead of "To Wav" (or some options similar, I dont have the exact names right now), and next time you play a song, it will be outputted to a file instead of you hearing sound...