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An MP3 file is a compressed audio file, i.e., a file that takes up less disk space due to a compression algorithm, and which can be read by programs that execute decompression algorithms.
The MP3 format is not illegal, because it just a way to compress numerical data. On the other hand, its use may be illegal. MP3s must comply with copyrights: you can make a copy (backup) of a song for which you have the original. Thus, if you download an MP3 you may not keep it more than 24 hours if you don't have the original.
However, there are many free-distribution MP3 files. This allows lesser-known groups to distribute their work at a lower cost, and is a great way to discover new talent at a lower price.
It may also be very practical to burn an audio CD from these files. This may be read on any CD player or car radio with a CD player...
The first step is to decompress the MP3 file, i.e., to decode it into a WAV file, because this is the file type that CD burning software need in order to create audio CDs.
There are various programs capable of decoding MP3 files. We will use Winamp (version 2.5, the other versions are almost identical), which has the advantage of being fast, reliable, and, above all, very widespread.
Here are the steps to follow:


; otherwise, your MP3 files may decode in a loop. The sound files that you obtained are from various sources; their volume may not be the same, in which case, you may end up with an audio CD in which the sound levels of the various tracks are not equal.
To remedy this, you can use WAV editing software such as Cool Edit to calibrate your levels.
At this stage, the audio CD is ready to be burned. All you have to do is run a burning program capable of creating audio CDs (Easy CD Pro, Easy CD Creator...), and then to select the WAV files you just prepared when asked by the program.
You can organize the files as you like to maintain coherency amongst the tracks...the CD is ready to burn.