This has nothing to do with mIRC, however, if you want to burn songs that you have to CD, you first need a CD/DVD burner/writer in your computer.
Next, locate a software package that burns CD's...There are lots of them out there, and for music, Windows Media Player has CD options built into it. Note: if you want to burn your music to DVD, then Windows Media Player will not handle it, as the software will not recognize the difference between CD's and DVD's (for burning purposes).

The software that I like to use for burning, is Burn 4 Free

It has a lot of options, so if you try it, and you don't see what you're looking for straight off, look through the menus.