The exported WAV or AIFF file should be:
- 44100 Hz (set at Project Rate at bottom left of the project window)
- 16-bit (chosen using the "Save as type" menu in the File Export Dialog ).
These are Audacity's default settings, so normally you will not need to change these before exporting.
Burn the exported file to an "audio CD" - not a "data CD" or "MP3 CD" - with a CD burning application like iTunes or Windows Media Player.
For more help, see Burning music files to a CD.