Then start up Burrrn (a free Windows program which can be downloaded from here).
Click the "Add" button on the right hand side, underneath Clear
Navigate to the folder where your Cue sheet and MP3 have been saved and select the cue file. You should then see something a little like this (but probably with different track names):
With a blank CD inserted click the big Burrrn button at the top and you're away. If you have more than one CD writer you may need to check the Settings before starting.