How to burn songs to cd?

I click play a song and windows media player shows up then I click burn. then I go to the folder I have the songs I want to burn I drag them into the burn list. Then I insert a disc and then click start burn. A message shows up and it says please insert a blank disc and windows media player will autmatically start burning. About 10 seconds later they message dissapears and the cd enjects then the message reappears. I also tried inserting the cd in after I get that message but it keeps enjecting.