In Sibeilus 3, the only sounds that are available in the "record to CD feature" are the sounds that are embedded in their Kontakt Player module. Unfortunately, this means that any other sound sources you are using, won't be included in this recording.
Kompakt doesn't do this either - it's merely a sample playback engine.
The ideal solution is to use a multi-track sequencing/recording program such as logic, but if you don't want to spend that kind of money, look into a freeware program that will record all outgoing sound from your computer. I believe there's one called "#1 Sound Recorder" for Windows which is available as shareware at http://www.versiontracker.com.