There is only an option to save as .WAV in audacity unless you install the lame mp3 encoder, and looking at your skills john i reckon its beyond you man.. not being rude like... :)

a WAV file will burn onto a CD just fine.

You can use windows media player (from version 7 onwards) to burn an audio CD as long as you import your WAV into a playlist, although TBH i would probably download and install itunes... it does things better. (IMO)