If you burn as data a CD can hold 700mb, roughly. So, if your 2000 songs are under 700mb then yes. However I very much doubt that.
At roughly 4MB a song, even a data DVD won't hold that many. You could get about 1000 songs on a DVD. Maybe about 180 songs on a CD.
You can just drop and drag to your CD drive and windows will burn it for you, provided your drive has the capabilities.
It won't change format unless you select audio CD. If your music is MP3 and you select data CD, it will stay as MP3.
There's a way if you won't play these lool Use a software that can save MP4 format in multiple quality, save these in 11khz Mono 8-bit then perhaps you would be able to store 2k songs on a 800Mb CD ^^;