Are the tracks you wish to copy in a playlist?
If so highlight the playlist,click "Copy to CD",
a new window should open,just above the left pane is an icon "Now playing" click on this and scroll down to the playlist you originally selected, and all the track titles should appear, clicked and ready to copy. Move over to TRHC and click "Copy" WMP will then convert all the files to CDA format, and you can watch progress in the left pane, it will then burn them all to CD.
Hope this helps, Toxin.