I've used Winamp in the past, as I use that as my music player too.
It has something built in called "Diskwriter" as I remember.
You just select diskwriter as the output, queue up your playlist, press play, and instead of playing, it writes them as wav files.
V1N.
EDIT: Sorry, reread your post. It doesn't make an audio CD though, you'd still need to burn it. I think Winamp does burn CDs, though I've never used it to do this, but I think only in the pro (paid for) version. Sorry.