im using nero 5 i can burn mp3 files direct to cd without problems,no converting to wav files is necessary.
If you do convert a mp3 to wav it takes more data.
Find the correct mp3 files(mp3 Format or zipped) it will allow you to burn to cd.
Stay away from ps,bin,js,html,mod, and others.
If you have windows media player 7,try to place you mp3 in the media library,if they wont store on the playlists they wont be able to burn on cd with nero!