Which operating system do you use? Windows or Mac?
Another way to add songs to iTunes (as already suggested) is to open iTunes & go to the menu & File & use the Add to Library... command. See image below.
But 1st you need to know where your LW Dwnld folder is. Go to LW's menu Tools-Options & Saving. This will tell you the name, location & path of your LW Dwnld folder (where your downloads finish up.)
For burning cd's see this thread (click on the link):
http://www.gnutellaforums.com/showth...threadid=27006
iTunes image is from a Mac computer, however the Windows version will be almost identical.