Sorry Pete, it's still not clear to me what you're doing - in either of the two cases.
But, try this (btw, I am assuming you are using Sonar):
In Track View, make sure your Mains are showing. If they are not showing, there is a button at the bottom (next to the All/Mix/Fx/IO tabs) which will toggle the Mains on and off. Since you only have one stereo out, you will probably just have a single Main (should be labeled A).
Now click the FX tab at the bottom of Track View. You should see a box in the Main track labeled Fx. Right click on that box, and patch Ozone there from the menu's that popup. Adjust Ozone to the settings you want.
Once you are satisfied, go to the Edit menu and choose Select > All. Then go to the File menu and choose Export Audio. You'll get a popup menu. Give the file a name and destination (make sure the file type selected is Wave and the bit depth is 16) and click on Export.
You should now have a wave file of your finished mix. Play the file using Windows Media Player or Winamp and make sure you are satisfied with it. After which you can burn to CD using EZ CD Creator.
If the mix sounds OK through Windows Media Player, but subsequently does not sound good on a CD played in your car or home stereo, that is a whole different kettle of fish - most likely due to your monitoring system and/or ears.
Good luck.