How can I burn an Apple Music playlist onto a CD?
iTunes for Windows: Disc burning overview


  You can use iTunes to create your own CDs and DVDs with audio and
  video from your iTunes library.
  
  Important: You can’t burn the following to CDs or DVDs:
  
  
  Movies and TV shows purchased from the iTunes Store
  Songs or music videos downloaded from Apple Music
  


https://support.apple.com/kb/PH20378?locale=en_US