Hello. Would appreciate some assistance. After downloading a song, I hit "explore" and then save the file. It defaults to my windows media player. The song/file automatically goes in to the "burn cd" column. How do I get it to go in to the "library" column?

I would like to make a cd, and assume I have to download all the songs at one time, then move them all in to the "burn cd" column in order to create the cd. Correct? Thank you very much....scott