I use Media player and they save as WMA, but then I only burn music onto CD as music files, not MP3 files (so they play in normal CD player)
If I need to make an MP3 disc then I use this;
http://www.download.com/Cheetah-Audi...ml?tag=lst-0-3
Quality piece of freeware, allows you to convert any music file from one type to another (not just WMZ,WAV etc to only MP3, you can do it the other way around etc) and also choose the bit rate and the frequency rate aswell