1. Go into the iTunes preferences (command-Y) and click on Burning. If you want to make a regular music cd, click on the Audio CD option. I usually set the preferred speed to maximum possible, although if you want you can set it slower (fewer errors, although I haven't really gotten any with iTunes at any speed). You can also alter the gap between songs - like if you're burning a concert, you can set the gap to 0 seconds so the tracks flow together seamlessly. 2 seconds is the norm, though.
2. Create a playlist (the plus button on the bottom left side of the iTunes window). Name the playlist whatever you want the name of the CD to be.
3. Add the songs you want to burn onto a cd into that playlist, in the order you want them. (Just drag the files onto the playlist and they should appear in the right side of the window)
4. Click On Burn CD in the upper right corner of the iTunes window. It should ask you to insert a blank CDR into the drive (unless you already put one in there). Then click on it again and it should start burning!