Here are some rough directions on how I would do it:

1) Add the files to your iTunes Library (you probabaly already did this)
2) Create a new playlist and copy the songs that you want to burn to that playlist
3) Select the playlist and you should see a "BURN DISK" button on the upper right. Hit that button after you have inserted a blank disk in your burner.

You may have to adjust your burning settings (Edit--> Preferences-->Burning) to get the format of the disk right.

Hope this helps .....