Along with having a proper burning program, you'll need to buy some blank media (the CD-R's and NOT CD-RW's because CD-RW will NOT work in a standard audio player).
CD-R's are cheap to buy and come in various colors, time capacity (74 or 80 minutes), with cases, without cases, some look like records (only made by Verbatim). Since I make labels, I buy generic CDs with no manufacturing stamp on them.
When buying the CD-R's just make sure to buy ones that are compatible with your burner. For instance, if you buy some CD-Rs that burn at 12x or below but your CD-R drive burns @ 40x (the x means how many rotations per second, thus the higher the number, the quicker the burning time), your burner will automatically drop down to 12x. It sounds complicated but really isn't. Just remember that if you want to burn quickly, (40x will usually only take 2-4 minutes to complete a full 80 minute CD-R), you need to have CD-R's that allow you to do so.


