The Enqueue button is used for making playlists within LW! Once you've downloaded a file, it should appear in your saved folder & also in your library...they're transferred automatically.

In LW tools > options > saving will show you the location of your saved folder. That's where your songs are saved. Go to LW's library, click on Saved Files then click Explore...your saved folder will open for you.
This folder is where you'll have to look for files when you burn a CD.

If the Enqueue button disappears, it's usually bacause the LW player's been disabled. Tools > options > player lets you choose whether to use it or not.