It must be in a music (audio) CD format (most burners nowadays let you do it in this format). Once you have your audio CD place it in the Xbox CD drive, go to the music player bit and theres a big button marked "Rip CD", go ahead and click that. Be warned it may take forever.

The other option is if you have a home network, a 360 and a computer with Windows Media Player 11 all you need to do is start your computer up, then on WMP11 click the drop-down button on Library and go "media sharing settings", turn it on and then set it to allow access to your Xbox. Then on the Xbox click the music option on the media blade, press x and then choose your computer from the list