As far as I know, no one CD player still not support MIDI files playback, so you can't burn MIDI directly to a CD. Why? Because MIDI is like Sheet music or score. Sheet music isn't music that you can hear but it tells a musicain how to play an instrument.
If you need a MP3 CD or DVD then you need to MIDI to MP3 converter. Once the MIDI has been converted, you will be able to transfer or burn the sound file to a CD by using the Windows Wizard.
If you wish to create stadard Audio CD then you need to convert MIDI to WAV before burning. It could be done with any MIDI to WAVE converter. Just use 44100Hz/Stereo/16bit settings to avoid sample rate conversion. Next, download and install Audio CD Burner to record WAV files on Audio CD.