From what you have said check all your LW settings and make sure what you have downloaded is showing up in LW folders...

Only use the nero it should do all the converting as well as burning for you (as I said I dont know alot about nero, but from what I have read its the same as the others.)

Have a look at the stickies at the beggining of the open dissussion forum (LW), they will explain LW settings and such.

good luck and if you still run into problems let me know