1> How to let your Windows Media Player know other format => you need to download decoders for other format. Check that MS site.
2> Save mp3, wma, rm, ... to a CD => Simply burn those files that you downloaded from here to a CD disk. (Treat the CD as a file folder if this can help you to understand how it works.)
3> Create a music CD => You can use the Windows Media Player to do the job (by using 'copy to CD or device'). Similar to 2> above, you need a CD burner. The music CD format is much larger than mp3 or wma format. A typical CD (700M) can hold about 15-20 songs in that format instead of a few hundred songs in mp3, wma ... but you can play them in normal (or old) CD players.