My personal advice: grab a copy of iTunes from Apple (yes, it's free!). Download songs at 99 cents apiece. Create a playlist in iTunes, and then burn the playlist to CD. Play the CD in your car, and be happy.
Apple iTunes Store downloads are in DRM-protected AAC format, but you can easily burn them to CD, then rip them back into MP3 format sans the DRM.
Also, ShadowAce, Tech ping!
Do what #2 post said. With ITunes you can borrow CDs from your friends, put them on ITunes and make you own Cds in addition to what songs you buy. You can also get music from the library and put it on ITunes.
Now, if you want to know how to burn off CDs, get a program like Nero and just select which songs you want to save, and use Nero to save them. Then you can click-and-drag directly into your itunes lists.
Slight correction, some are protected, some are not. All the non-protected songs are under the “iTunes Plus” button, and those songs are just about CD quality. But yes, with iTunes just download, make a playlist of songs with few enough to fit on a CD (protected or not, both work), put in a disk and hit the burn button.