To make your own CD from an album in your library, click Library and choose View > Show Browser (if you see only Hide Browser, then the Browser is already visible). Drag an album from the Album list in the top-right section of the library to the white area below the items in your Source List. Click the album's playlist icon to select it, then choose File > Burn Playlist to Disc.
To avoid the message that appears when you insert a blank CD, click the Burn button before inserting the blank CD.