It's normaly beter to use some dedicated burning application. There are many available, with a good proportion of free ones.
Be sure that you effectively use a CD-R if you have an CD-R drive. That kind of drive can't handle any DVD. A DVD drive can work with a CD-R.
If you are NOT on a Mac, you should use any other media player than iTune.
Unless you REALY don't have any other choice, you should NOT use iTune as your media player. By dafault, it relocate, reorganise, rename and convert your MP3s to it's native format. It's done "on play". Your music is no longer where you originaly placed it! It then suppress the original file. ANY format conversion will result in some quality loss.
Also, it's a realy bad case of bloat ware at over 300 Mb. Installing it also reassociated all image and video format to itself. When uninstalling iTune, and it's associated components like Quicktime, the original associations are NEVER restored. It also leave over 100 Mb of useless files.
There are MANY other media players, most been free or have an excellent free version, available that are lighter and at least as good.
It don't mather if the CD-R/DVD-R is an internal or external unit. It's just that external units are some times slower as the connection may not have the same bandwidth.