I was not aware of this feature until I want to burn my own customized music CDs and listen to them in my car every morning I drive to my office. At first I thought Windows Media Player can't do that but I'm wrong.
Here are the very simple steps to burn Audio CD with Window Media Player:
Insert blank CD into your drive
Play the song with windows media player (I have bunch of songs in my laptop and I want to listen to them first before I decide to burn them into Audio CD).
Click the “Burn” tab at the top and make sure the “Audio CD” is selected. If I like the song, I will right click the song and click “Add to Burn List”. I will continue doing this until the Audio CD is full.
When the Audio CD is full (close to 0:00 remaining time). I will click the “Start Burn” button at the lower left. When the burning is done, the Audio CD will automatically be ejected (default option).
Label the CD.
So far, I have burned 2 CDs with all my favorite songs. :)