errrrm WeeBism, I am afraid you will need to have a cd writer of some description to make cd copies. However it does allow you to make a copy of your own CD(called ripping) to your hard disc. From that you can make your own cd compilation, although to make a hard copy of it, as I say, you will need to have a burner of some description(CD rom laser technology, does not allow for burning)
But a point of interest regarding most MS media players, if you prefer your privacy, is to go through the options, from the tools menu, and uncheck the feedback and any error reporting options.
Media player 9 by the way, is a good player, in my view, another 'tool' from MS, is the movie maker, which is very good, I have read, and heard(I do not make nor have the ability to use this feature lol)