You'll need to find your saved folder. In LW's library highlight a file & then click Explore...your saved folder should open. This folder is where you should look when adding files for burning. Files in LW's library, will show up as playlist (m3u)files

Also, make sure that you're using the right sort of discs. Some players won't play CD-RW. So just try burning to a CD-R.

Are you burning an audio CD or mp3 CD? Make sure that you're burning an audio CD, unless you know that your player's able to play mp3 CDs (lots of players can't).

See if these guides help
Burning a (audio) CD from your MP3's (Windows)

Windows Media Player 10 Guide: Adding Songs to Your Library and Burning CDs