I do this for my wife from time to time.
I generally purchase my music (individual tunes or complete albums from Amazon
Online shopping from a great selection at Digital Music Store.
www.amazon.com
I just download them to my system and then put them on her MP3 player that she listens to when flying (nervous flyer).
I don't know about burning them to a music CD as that seems counter productive with the MP3 player options available but....
IF I was pressed to do it, I would probably just use Windows Media Player (native to Windows 10) to make an audio CD.
Pretty sure that once you've purchased them legitimately their yours to do with as you wish, excepting redistribution and sales.
Although there may be some DRM restrictions on some music that might come into play when you're producing an audio CD as you are in effect changing their file format from .mp3 to .cda