Generally, in the Music Manager/MP3 Maker product line, you use the file browser on the left-hand side of the screen to locate the desired songs and compile them into a playlist on the right-hand side of the screen. Once your playlist is complete, you use the burn function (audio CD) to burn it off.
This is how you would do it for protected files as well. Of course you need to pay attention to the license for your particular files, whether burning is generally permitted for those files and how often you can burn them to disc. Also, MP3 Maker only supports the handling of the DRM system for WMA files. It doesn't work for other DRM systems (e.g. iTunes/Apple M4P files).