Burning music files to a CD
From Audacity Manual
Audio CDs
It is important to burn an Audio CD (Music CD) and not a Data CD. A data CD will play happily on your computer but is extremely unlikely to play in a standalone CD player.
Audio CDs always contain high quality uncompressed PCM stereo audio at 44100 Hz sample rate, 16-bit sample format. So to burn an audio CD, export the file(s) you want to burn as a 44100 Hz 16-bit stereo WAV or AIFF file.
Burning software
In order to burn an Audio CD you will need a CD burning program. Most computers already come with media player software that can burn CDs. For example, you can use Windows Media Player built into Windows or iTunes built into Macs. In either of these programs, drag the files you want to burn from the location you exported them to into a "playlist" ready for burning.
You can also use a standalone burning program like CDBurnerXP, Nero or Toast to burn your exported files. In this case, open the files from within that software.
Don't forget to select the setting to burn an "Audio CD" or "Music CD" as explained above.
Gapless burning
By default, many CD burning programs add a two-second gap between CD tracks as part of the standard for Audio CDs. So be aware of CD track gaps when placing labels between album tracks for Export Multiple and consider deleting excess silences between tracks.
However most CD burning programs have an option to burn the CD with no gaps between tracks. This is useful for recordings such as live concerts, allowing the CD to play continuously if the player supports gapless playback while still permitting skipping to individual CD tracks. If burning a gapless CD, you will need to place the Audacity labels exactly where you intend the burner to mark the track splits.
Some CD burning programs (for example, older versions of Windows Media Player) have no option to burn without gaps. Gapless burning is also only available if the optical drive supports Disc-At-Once (DAO).
Detailed instructions in the Audacity Wiki
There are more detailed instructions in the Audacity Wiki on burning CDs - see: How to burn CDs.
See also the two sections at the end of the Wiki article on "Splitting recordings into separate tracks" which discusses Gapless Burning and provides extra notes on burning to CDs.