If you have windows with Media Player, just highlight the mp3 and go to "convert format". This will bring up another window where you can convert it to .wma. If not, then I use a program called audacity. It's a fun program that lets you edit the music. (amplify, equalize, etc.) It will also convert to .wma. If you have windows, I think if you go to thier site, they also have the converter there for download. Both programs are free.
I guess I was confused where Troy said "no conversion necessary", and "just add mp3 files"...as it sounded like he was saying no conversion would be done...which if that were the case the CD wouldn't work on most CD players out there.
Are you going from mp3 to CD? If you are, Windows Media Player 11 (XP and Vista definitely) can convert them when you burn CD's. Just click on the "Burn" tab and select "Music CD" to make a regular audio CD.