To burn an audio CD, it is not necessary to use WAV files; you may use any format supported by your CD burning software. If using a lossless format, your CD should sound exactly the same as one that was commercially produced.
My recollection of CDBurnerXP is that it required one or more additional components, which I prefer to avoid. I’ve used Imgburn with good results, but burning an audio CD requires a couple steps; first you build a CUE file, which is very easy, then make the compilation from that.
If you want to get fancy with CD Text, you can modify the CUE file to show the title, track name and artist exactly as you wish.
As with any downloaded freeware, be careful about malware sneaking in.
If you’d like to reverse the process to extract one or more tracks from a CD, I can recommend CDEX. So for example, if you wish to build a custom compilation, you could extract tracks to FLAC files in CDEX, then build your compilation in Imgburn. Or just to play audio files on your computer, you could extract to a lossy format.
Since I’m a proud Linux user, I use software included in the official repositories. Everything is open source, free of charge and free of malware. I don’t use MP3 because it’s proprietary (someone owns the patent), but it’s easy to add support for it if needed.