What PA9 can do is to export digital audio to certain formats like MP3, WAV, RA, etc.
Files like WAV and MP3 can then be burned as a CD Audio with software like Nero Burning ROM as an example.
To export, first you need to record Audio rather than MIDI, then make sure to have the time line at the beginning of the recording. If it's anywhere else it will only export the info that occurs after the time curser.
Then click "Tools", then "Mixdown Audio", then "Export to File". In that small window there is a drop down selection for choosing the file format you want.
This procedure does not remove or delete any of the Cakewalk WRK or Bundle files that made the PA recording/ It simply exports the audio as an additional copy in a particular format that is usable for burning onto CD (with burning software such as Nero) or uploading to webspace.