To make your own CD from an album in your library, the album first needs to be a playlist. You can create a playlist by selecting all of the album’s tracks, then choose File > New Playlist from Selection. If you’re in album, grid, or Cover Flow view, you can create a playlist quickly by simply dragging the album’s artwork to the Playlists section in the iTunes sidebar. Now click or tap the newly-created playlist to select it, then choose File > Burn Playlist to Disc.
To avoid the message that appears when you insert a blank CD, click the Burn button before inserting the blank CD.