This article is from the CD-Recordable FAQ, by Andy McFadden (firstname.lastname@example.org) with numerous contributions by others.
Yup. You can download MP3s, write them to a CD, and play it in anything
that handles audio CDs. In fact, many of the popular CD recording programs
will decode the MP3s for you.
It's also possible to take songs from a CD and convert them to MP3s for
use in an MP3 player.
Section (3-27) has more details.