ITunes - How do you transfer songs you bought to a cd?

I have bought several items and in my purchased area of iTunes but I don't know how to transfer to CD or my mobile (which is not an iphone)

All files are automatically stored on my computer in iTunes folder and are in a m4u (Mpeg4 audio format ) and can't convert to an mp3 format.

Any ideas?

Also if I access iTunes from another computer and sign in with my apple id and password will it show my library or is it just restricted to my computer?

I'm assuming just my computer as I got settings set to authorise just my pc.

Create a playlist in iTunes with everything you want to burn to cd in it, right click the playlist name in the sidebar and select Burn playlist to disc.