How do you make them? Can you do it with this program: http://www.burn4free.com ?

I'm not sure if you can do it with that one, the way I read it I don't think you can, but you won't know unless you test it.

A sure one that will is:
http://www.mp3-cdburner.com/Acoustica-MP3-CD-Burner.shtml
Although it's shareware/trialware, but I think it will do what you ask of it.

data is data. nothing special here