Just about any CD player program (like, Windows Media Player) can burn them to CD. I think that with that type of software that you do not need to convert the file to any other format. Be sure that it says that it is making an audio CD.
Without that kind of software, you would have to convert the files to WAV files and burn them to a CD/R disc.
All CD players will play the kind of CD described above (also called an audio CD). Newer CD players will play that and just about any music file you have on any kind of CD or DVD. So it depends on the type of CD player that you will be playing them on.