Do you mean burn them to a CD? Nero will work for that but I believe it's currently a software you have to pay for. If you have a program like Windows Media player or iTunes you can actually burn CDs through them. The best free alternative I've found is CDBurnerXP Pro 4. It allows you to burn MP3's as well as some oddball formats like FLAC and WAV files. In addition, it has an audio player. Only thing is this is for a Windows PC.
If you're using a Mac, Express Burn 4 is your best bet. Like BurnerXP Pro 4, it offers the ability to burn different kinds of file formats.
I find Nero works well.