when you burn a cd which can take only 80 mins of audio, the format is usually wav, waveform audio file, which is similar to the old record players with their dips and hills ( same kind of incredibly inefficient system, but it includes sounds that are below 30hz and above 16k hz which mp3's can't reach ).
seriously, you can use some random program, but the absolute best is windows media player, just drag and drop a playlist onto a the picture of a cd in the top right.
Still, personally, if you are considering downloading music, I normally download a song, see if I like it, then buy the cd, idk, its like supporting a good cause like donating to IC lol ( once I get my bpay account.... )
Some people suggested burning slower, thats only an issue if you are trying to run another laggy program while burning lol, or if you really do have some dodgy cd burner.... ( its safer to get a cd/dvd burner because they are always of a high quality, just fyi )
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