What CD Burning Software are you using?
If it's Nero then it has it built in, it should covert just before it is going to burn the disc click here
If it's Roxio then as far as i know you have to convert the MP3 to WAV files. click here (thats what i did when i used roxio)
If you click here you'll find an MP3 to WAV decoder.
It's best to use CD-R discs.