If you have iTunes:
Load the CD. iTunes should recognize it as a blank CD almost immediately.
Make your playlist, complete with the order of the songs as you want them to play on your disc.
Towards the bottom of your playlist, you should see a button which reads "BURN CD" or something of the sort.
Press it and...
Presto! Your CD should start to burn.
The same goes for a majority of PC music players. Take your tracks/downloaded songs and arrange them in a playlist, load your blank CD, then find on your music player's window where you can click "burn" or "burn CD."
If you have a slower computer, I'd reccomend letting it sit while you burn the disc. Otherwise you might get blips in the writing, resulting in skips or disc errors.