This one took me a little while to figure out, so I thought I’d share my steps with you:
1) Open ImgBurn and select “Write image file to disc” (or choose “Write” from the Mode menu)
2) Click the CD with a music note button (Create CD CUE file)
3) Click the top button on the right (Find Files)
4) Once you’ve added your files, you can choose the tagging/gap preferences
5) Then, click OK, and you can burn the compilation from here.
You should be able to burn any audio format supported by DirectShow; if you need M4a/AAC support, you’ll have to download a plugin, such as the one below:
And…you can find the official instructions from the ImgBurn forums here: