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Eject your CD/DVD drive. Place the MP3 CD in the drive's tray. Close the drive. Allow iTunes to "Autoplay" the disc or drag the disc's icon on the desktop to iTunes, if you're impatient. Then click play in iTunes.

EDIT: You got there before me!
 
Well that is what I thought but when I put the cd in my cd drive it does not show in itunes and the drive keeps ejecting the cd
 
In that case, your CD drive is probably broken. Of course, it could be that your Mac can't read the disk formatting (NTFS) the CD is using, but I don't think that's likely.

Have you been able to play a CD before, or have you just gotten this Mac?
 
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