Check out this thread: How to transfer music to my iPod (& iTunes)
There are a few different ways to transfer files to iTunes How did you move files in the past? Some people have found that dragging & dropping into iTunes doesn't work. Try adding files from LW's saved folder instead... I've never had a problem doing it that way.

You can't burn a CD in LW - LW won't burn CDs. You could burn a CD of your LW downloads using burning software & import that into iTunes, but I think it's much easier to find a way to add files from LW to iTunes & then transfer to your iPod