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First, you don't "download" music onto a CD. Downloading is the process of transferring files from a remoter computer to your computer. You might download music from a service such as iTunes or Napster, but you are storing the files on your hard drive. The next step would be to "burn" the files to a CD.
How you do that depends on a few factors, a) that you have a CD burner (R/RW); b) the type of player you want to use the CD on; c) the burner software you use and d) the format of the music files you want to burn.
Music files come in several formats. Most common are the MP3 and WMA formats. ITunes has its own proprietary format. Standard Audio CDs use the WAV format.
Many new players support the MP3 format. So you could burn MP3 files to a CD as standard data files. This allows you to fit hundreds of songs on one CD. If your CD player doesn't support MP3s, you can use your burner software or Windows Media Player (WMP) to create an Audio CD. Without knowing what burner software you use, I can only suggest you check the Help for your software. With WMP you create a playlist then select the option to copy to CD. When burning as an Audio CD you can get up 80 minutes of music depending on the capacity of the CD.
You might want to check MP3.com for more info on this.