You can't save directly to a CD. You must save it to your hard disk drive 1st. Then either drag & drop the files to your burner app or direct the burner app to where your LW dwnld folder is. Your LW dwnld folder's name, location & path can be found out by going to LW's menu Tools>Options>Saving. Also if you have LW 4.2, in your LW Library window there will be a folder called 'Saved files'. Click on this, & then click onto any of the files listed to the right of it & press the Explore button. This will open the folder up for you.
If you have iTunes, you can create playlists & burn them using iTunes.
Also see this:
http://www.gnutellaforums.com/showth...threadid=27006