To check whether or not your drive can support CD-RWs (or even CD-Rs, for that matter), click the Apple logo in the top-left corner of the screen and select “About this Mac” from the menu. In the popup that occurs, select the “Storage” tab, and all of the CD/DVD formats your Mac’s optical drive can burn appear at the bottom of the window. If it says “CD-R” and/or “CD-RW” (and it most likely will, depending on your Mac’s age), you’re set.
If you are burning an audio CD, open iTunes or whichever music playing software you use.