Use the "Bounce to disk..........." command to create a .wav (PC) or AIFF (Mac) file of your mix that your CD burning software will recognize.
Be aware that PTF bounces in real time so you might as well use the highest quality setting for the bounce.
Also make sure that if you've altered the audio files with volume, panning, or plug-ins you should use a master fader with the dither plug-in on the last insert when bouncing.
Also make sure you're not clipping the master fader meters.