This is the most common question we get, so I've decided to make a Sticky. It is also covered in the Cubase LE Operation Manual under "Export Audio Mixdown".

Cubase does not burn to CD directly, so you must first export your project so that you can burn from iTunes, Windows Media Player, etc.

First, you must set the locators so that Cubase knows where to begin and end the export--usually you will want them to encompass the entire project, but there may be times when you only want to export a portion of your project, like just the intro. The locators are located in the Ruler bar, just above the project window. They are little triangles, and when you drag them apart with the mouse, they are connected with a Blue line between them with the arrows pointing inward (note: if the arrows are pointing outward, then they are inverted--the end is at the beginning and vice-versa--and they must be reversed or you will receive an error message and you will not be able to export).

A short cut for setting the locators is selecting a track or all tracks (Ctl or Opt + A) and then hitting the letter "P", which automatically sets the locators around the selected file or files.

Remember that the project will export exactly as it plays back--in other words all automation, muting, effects, panning, etc. will be included in the export, so make sure you haven't accidentally muted or unmuted any tracks, etc.

Now, all you have to do is go to File -> Export -> Audio Mixdown, and choose the file type you would like to export and where you want it to go (your desktop, a specific folder, etc.). For internet use, MP3 players, or anything else that requires a small, compressed file, choose MP3. For an audio CD, or to give your project to a Mastering engineer or the duplicators, etc., you will want a Wave file. The mastering engineer will want the file in the same bit rate and sample rate you recorded in for best quality, but if you are ready to go straight to CD it must be 44.1 kHz and 16 bit, which is the Red Book standard for all CD players. Also, for .wav and .aiff, you will most likely want to choose "Stereo Interleaved" in the Channels box as this will create one stereo file with all your panning.

Have fun!

Edit, June 2007:
The MP3 encoder for all versions of Cubase (except Cubase 4 and Cubase Studio 4) is no longer available from Steinberg. If you have already exported the allotted 20 MP3 exports from Cubase and are no longer able to export as MP3, export instead as a .wav or .aiff from Cubase and bring the file into iTunes (which is a free download from Apple). Once in iTunes, you can convert the file to MP3.