1. Are you talking about a portable or software player? For a portable read the manual. For your mp3 player direct it here: C:\Documents and Settings\"your account name"\Shared
However I would recommend moving the songs out of the shared into a music folder before adding them to the player if your player is a playlist player. Then you can share the music folder by adding it. Tools>Options>Sharing & press add.

2. Burning an audio CD from your MP3's