You'll need to convert the file from mp3 to a format that Nero can handle for writing to an audio CD. From memory, you can use .wav or .wma files.
There are various conversion tools around (shareware and others) - not too expensive. I use dbPoweramp. You will need to register for a small cost in order to convert to/from mp3. The benefit is once you've done this, you can convert by right-clicking on the file in Explorer rather than having to start a separate program first.
(Bear in mind though that the mp3 files are compressed so you will have lost some quality which you won't 'get back' by converting to an audio format. On the other hand if you're listening on cheap headphones it won't really matter
)
hope this helps