Using a sound editing program such as Audacity, you can import the file,
whether it is mp3, wav, or a few other formats (not wma). You can then
crop the part of the song you want to keep, and even fade in and out at
the ends to make it sound natural. Then, from the file menu, instead of
"save", use the "export" command, and choose wav or mp3 (mp3 export
requires the free LAME encoder, for which there is a download link on
Audacity's pages). Windows CD buring or pretty much any retail buring
software will then let you make an audio CD using the resulting file(s).