Depends on what you use to burn the MP3 files to the CD-R.
If you use for instance, Nero, you will have options to create a data CD or audio CD (plus many more). If you go for data CD you'll be able to fit loads and loads on, but the finished disc will only play in CD/DVD players that will play MP3's.
If you select create Audio CD the MP3's will be converted so that they'll play on any player, however, you'll not fit as much onto a single disc.
I presume that if you use Media Player to create an audio disc it will also automatically convert the files...........