With Apple's iPhone, it is possible to download content directly to your device without first downloading it to your computer. As a result, its possible to have playlists and even entire albums of music on your iPhone that don't exist on your hard drive. If you want to burn a CD from this content, you will first have to sync your iPhone using iTunes and then burn the CD using the same program.
Put a blank CD in your computer's burner. Once you have done this, open Apple's iTunes via its desktop shortcut icon.
Connect your iPhone to your computer. Your iPhone's name will appear in "Devices" in the iTunes window. Click your iPhone's name and click "Sync." This will transfer all content that is on your iPhone that is not on your PC to your hard drive. This will make this content available for CD burning.
Click "File" and "New Playlist" in the iTunes window. Drag all of the content that you want to burn to a CD into the new playlist you have created.
Click on your playlist to highlight it.
Click "File" and "Burn Playlist to Disc." This will take all of the content that you transferred from your iPhone and burn it to the CD in your burner.