go into record mode. change your input to main outs. press record to start recording your sample as you would record any other sample. then press play on the transport and it will start "sampling" your beat.
when you're done recording the sample, press the "keep" button, and then you should be able to go into save mode and burn that file to cd.
i believe burning cds is explained in the addendums to the manual, if not in the manual. if you don't have the manual or addendums, you can get them here:
http://www.akaipro.com/supportdocuments.php#MPC2500