You will want to burn them as Data (not audio). Just select "Make a Data CD" (or something like that) and drag and drop the mp3 files you want to burn.
Keep in mind that you will not be able to play this on (most) CD players, but only on your computer with the right software (such as winamp).
To make an audio CD which will be playable on most CD players, you'll have to convert the mp3s to 44.1khz/16 bit .wav files. I don't know about software that can do mp3->wav conversion. I'm sure someone else can answer that. Keep in mind that the wav will sound just like the compressed mp3, there's no way to get back the data lost during the mp3 conversion process. Good luck!
-Evan