saving files and burning them

I'm new to this, how do you save the LW downloads to a list that you can get to to burn, LW installed Real Player on my computer, but it doesn't save the files to that, and I can't figure out how to do it. I also have Windows Media, Interactual player and Quicktime, I would prefer to use one of them if you can tell me how to save my downloaded LW files to one of them.