A quick and dirty way to capture any audio played on a PC is using Audacity:
http://sourceforge.net/projects/audacity
Set the input to be WaveOut (your PC's audio output). I captured each song segment, saved as a wave file, killed, recorded the next segment, saved, etc. Then used Windows Media Player v11 to write the CD.
In fact, I just did this with a movie downloaded from Google Video and made a CD movie soundtrack from it (old movie that could not find for sale or rent).
It may be a limitation of my old laptop PC, but Audacity only recorded in Mono from my waveout mix input source... Your mileage may vary.
-Bill