I used to use programs like Nero, convert the MP3s to Wavs, then burn to a disk.
I don't burn many cds anymore, but now when I do I just use iTunes. Just make a playlist, drag your mp3s into the playlist, put in a blank CD, then click burn. And since you can download iTunes for free if you don't already have it, seems like a good solution to me.
whatever program you use to burn, I'm sure it has an "audio" option. If so just drag your mp3's on it and burn. 99.999% of all burning apps will convert the mp3s for you during the cd burning process. Their is no need for you to do anything else.
If you want to burn mp3's on a cd while keeping them mp3, then just burn it as a data disc. very simple
You could just use Windows Media Player if you want an easy method (yet unbelievably slow at times). Just go to the burn feature and drag the MP3's into the burn list (this is with Media Player 11.....I can't remember if its any different in previous versions).