Can anyone tell me, can you record directly onto a CD from another Audio source with a CDR in your PC, or do you have to save it all on to your hard drive. If the hard drive is the only way, do you connect the (MD) audio source via the soundcard. And another question, what is the best software for playing around with the music, I need to speed it up and mix it for my wife's aerobic classes.

You should be able to 'stream' directly from a source to the CD-R, if you have a fast enough PC. Not sure which software supports this, though (check out Nero, Adaptec EasyCD Creator, etc.). And yes, you use the sound card as an input.
But if you're going to play around with pitch and speed, you're better off saving to disk first, then playing around with the files before writing them to disk. See the music software group test in the 'Other software' section of this site. And beware of copyright...
Alex