First of all, you need to find where your downloads are saved. Go to LW's library, highlight one of your files & then click Explore...your saved folder will open. This is where you'll add songs from when you're adding files to burn to CD.
By default, the Windows location for saving is C:\Documents and Settings\your username\Shared

These threads might help, too
Burning a (audio) CD from your MP3's (Windows)

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