Do you have a burnable dvd drive? Some dvd drives are not burnable.... Also you will need a cd/dvd that is burnable... These are 'expensive', because you can sometimes only find them in large quantities... Any staples, or office supply should carry them.
A burnable disk drive should only run about $20-$30 bucks and can also be bought a staples or office supply...
but if you do, microsoft has it so you never need to pay to burn a CD or DVD...
Here are the steps
Open Windows Media Player.
In the Player Library, select the Burn tab, select the Burn options button Options button, and then select Audio CD or Data CD or DVD.
Insert a blank disc into your CD or DVD burner.
If your PC has more than one CD or DVD drive, select the drive you want to use.
Search for the items in your Player Library that you want to burn to the disc, and then drag them to the list pane (on the right side of the Player Library) to create a burn list.
When you're finished with the list, select Start burn.