How to burn a CD or DVD in Windows 10 (step-by-step). MKV, and AVI), audio files (e.g., MP3 and WMA), or pictures to a CD or DVD. Note: this disc will only play on computers, CD players, and DVD players that support these video, audio or image file formats. Audio CD: if you want to burn MP3, WMA, or WAV audio files to an Audio CD. This CD will play on any CD player and car stereo. 5. Open.