When it comes to burning (read: copying/writing) a downloadable audio book to CD, you must be sure that it isn't for commercial purpose, but strictly for personal use. Violating this law can get you into serious copyright infringement problems. Yes, the downloadable audio books are still under copyright, even after paying to download them.
The only instance where they are no longer under copyright is when the authors or translators have died over 70 years ago. There are certain publications by government that are not under copyright. But the rule of "only for personal use" is still ultimate when it comes to burning any downloadable audio book to CD or any other such formats.

You might not believe it, but there are even certain audio book publishers that won't allow their audio books to be copied to CD. Audio book publishers can easily disable the ability to burn the files to CD. To be sure that your audio book publishers allows this, do check it out before deciding to purchase. It will be very frustrating to buy it with the primary purpose of burning it to CD to listen with your CD player, only to find out later that you can't write it to CD.

Also, when it comes to burning audio books to CD, you might certainly need more than one CD for an audio book. For example, an audio book of about 10 hours can take as many as 7 CDs.

Below are the steps to take to burn (or copy) any downloadable audio book into CD.
NOTE that these instructions are based on Windows Media Player Version 10. If you are using an older version, you can download the latest version from Microsoft's website. Here's the link:

http://www.microsoft.com/windows/windowsmedia/download

1- The computer you want to use to burn the audio book to CD must be equipped with a recordable CD drive and CD-burning software. In other words, it is this CD-burning software that can burn the audio book to the CD. And it is the recordable CD drive that can be used for this purpose.

2- Play the audio book on Windows Media Player. Make sure that you choose "Full Mode" when doing this, not "Skin Mode".

3- You will notice the "now playing" information displayed on the right-hand side of your Windows Media Player. If it isn't displayed, you should click the "Restore the Video and Visualization Pane" button to display it.

4- You can now click the "Library" tab. You will notice the "Start Burn" button displayed.

5- At this point, insert the blank CD into the recordable CD drive.

6- Click the "Start Burn" button. Your Windows Media Player will begin burning the audio book to the CD you have inserted.

7- If the audio book is larger than the CD (most always are), Windows Media Player will prompt you that it requires a new CD. You can remove the burnt (and ejected) disc and insert another blank one.

When the entire burning process is finished, it will display the status as "Complete". Remember to label the discs properly, using CD/DVD markers.