You first need to create an AUDIO file (.wav or .aif) from the MIDI information produced by Siblelius. This will require a separate software application, and fortunately there are some free/shareware options.
There are a number of ways to do this, but one of the simpler methods is to have your audio recording program simply record what it hears when you playback from Sibelius. Once you've captured the playback as a digital audio file (.wav or .aif) it can easily be burned to an Audio CD using your CD burning software, or converted to an MP3 with your MP3 software. Below are some digital audio recording programs you can download from the internet.