You could do it with iTunes. On a PC, iTunes will convert WMAs to whatever format you want, albeit AAC, MP3, Apple Lossless, WAV or AIFF. I'd personally choose high-bitrate MP3 so you get the least sound lost.
You simply drag & drop the files into iTunes, and it will convert them for you. Beware this will take up a lot of file space. Then drag the songs you want to turn into an MP3 disk into the left hand bar in iTunes to create a playlist, and in iTunes preferences (Edit > Preferences > Advanced > Burning), choose 'MP3 CD'.
Click OK, and then when in the playlist to burn to a disc, choose 'Burn Disk' in the bottom right of iTunes.