You need a CD writer attached to your PC (most PC's these days can write CD's) and some writeable CD's. Use CD-R not CD-RW - most MP3 playing CD readers don't like RW (rewritable) disks. Depending on the player, you may be able to use CD+R disks as well - these are just another type of writeable disk. Again, avoid CD+RW and CD-RAM disks. Check the manual for your player to find out what kinds of disks it can play, but pretty nearly everything will play CD-R
Burn a collection of MP3's to disk using Itunes or similar software. There are many tutorials on the net, a couple of them are
here and
here.
You don't have to use iTunes, there's lots of freeware MP3 organisers that can burn playlists to CD.
CD-R's are dirt cheap, 20p or less per disk, so you don't have to fill it right up. Have a few with different playlists on them. Depending on the length of the tracks you can get well over 100 on a CD-R.
Depending on the player, you may or may not get track titles shown on the display.