Open the CD burning software and insert each file you want to convert. Most software lets you do this by selecting "Open" or "Insert File." Your files will be listed in the burning queue on the following pane. Here you can drag and drop to reorder the files before you burn them.
If you do not already have the rights for the files on your computer, the software will prompt you for permission to access the Internet to download them for you. In some cases, the rights might have come with your files and are free to download; in other circumstances, you will have to pay for them. Either way, the software will not open the songs until the rights are obtained.
Insert the CD-R or CD-RW into your computer. Wait until the software recognizes the CD, then click "Burn" to transfer all files to the disc. Avoid doing anything else on the computer until all songs are completely burned, as other programs could disrupt the burning process. When the process is finished, the software will probably automatically eject the disc. If not, manually remove it from the drive, but wait until the software prompts you to do so.
Re-insert the CD into the computer, and open it in the CD ripping software. In some cases, this will be the same software you just burned the disc with. In the "Rip" pane under the "Options" menu, specify the desired format in which you would like to save the new files, such as MP3 or WAV. Under this same menu, you should be able to choose a folder where you would like the files to be saved. The new files will be rights-free and available for use on any media player.
If you used a CD-RW, you can erase the disc for future use. If you used a CD-R, keep it as a backup or discard the disc, as you probably won't be able to play it in most CD players.