The files that you download are already saved on your computer. In LW go tools > options > saving...you'll see the location of the folder where your downloads are saved. You need to add songs from this folder, to your burning program, when you want to burn a CD.

When you want to burn to CD, open up your burning software & there'll be an option to look for files to add to the CD...browse for that saved folder & find the songs you want

These links might help.
http://www.gnutellaforums.com/genera...our-mp3-s.html
http://www.gnutellaforums.com/tips-t...rning-cds.html