Hi there mandalay_leigh and welcome to the Roundtable!
Since you mention WinZip I imagine you're using a PC. Which version of Windows are you using? I'm going to guess XP but that's not always the case anymore.
There are several ways you can get the mp3 file onto a CD; however, keep in mind, that if you try burning it as an Audio file, chances are you will not have enough room on the disc for the entire track. Most CDs only allow up to 80 minutes, and I think the majority of films are at least 90 minutes (or thereabouts).
I'm not quite sure what other users are doing as far as burning to CD and listening it as audio- I've searched the forum and come up with nothing - but if you have a discman that can play MP3 discs, you're golden.
Two easiest ways I can think of - extract the mp3 file from WinZip. The quickest way is to double-click the .zip package, and drag-and-drop the file(s) from inside WinZip to your desktop, or to its own folder if you prefer. From there you can import the MP3 file into your CD writing software.
Some programs like Windows Media Player and Winamp allow you to burn MP3 and audio CDs. They sometimes offer a decent alternative if you can't snag decent burning software. But if you have the scratch and can afford to spend a little bit, I'd recommend Nero Premium. You can do almost anything with that bundle.
If you still have questions please let us know and we'll be glad to help you out!
EDIT: Geez, MrTorso, you beat me to the punch!

Nice job!