Create a new playlist by clicking the plus sign (+) at the bottom left corner of the iTunes window. Type a name for the new playlist.
Click "Music" under the "Library" heading near the top left of the iTunes window to view all the music in your iTunes library. Click on and drag items onto the playlist you just created.
Click on the playlist to view all the items you have put into it. Drag the items around to arrange them in the desired order for your CD.
Insert a blank CD-R or CD-RW into the CD drive of your computer.
Click the "Burn Disc" button near the bottom right of the iTunes window. In the "Burn Settings" dialog box that appears, choose your desired disc format and other options. Click the "Burn" button.