It does burn MP3's directly to waves for a normal audio CD - I just did such a CD for my brother only last week. It's also in the features list:
http://www.cdburnerxp.se/en/features
Perhaps it's a bug in the latest release. It does take a little time to get used to the different layout too. IMGBurn is a great app for ISO's and, erm *cough*, console images.
I'll give some of these suggestions above a try however. I'm always willing to try out new software. Thanks for the advice everyone.