Bring up the sermon mp3 file in the left pane (either in Now Playing or Library), then select the "Burn List" on the right side. This will allow you to drag the file you wish to burn over from the left side to the right side (see below)
Now select the "Burn" tab at the top middle.
Choose the burn list on the drop-down menu on the left, then select "Audio CD" under your CD burner drive on the right. [Here is where you would select "Data CD" if you wanted to make an mp3 disk to play in another computer, or some DVD players -- you can fit more than a year's worth on one disk, but it will not play in a normal CD player.] If you don't see any drives available on the right drop-down menu, your burner may not be installed correctly, or not setup for use with WMP... if so, you've probably got Nero or Roxio CD burning software installed. Both of these programs also allow you to make audio CDs from mp3 files. The key is to choose Audio instead of Data.
I hope this little bit of info helps some. If you have any questions, just post a comment using the link below, or send me an email at mat at delriobiblechurch dot com.