In the Open Discussion section, there's a Sticky thread by RaaF which explains it.
If you have LW 4.2.x you can go to LW's Library window, select Saved Files on the left, then select a file to the right of it. Now press the Explore button. This will open your LW Dwnld folder up for you. You can drag & drop the songs to your burner application or import them to a mp3 player 1st which may organise them for you. iTunes is a good one which allows you to create playlists which you can then burn directly to your cd without the need for other burner softw.
http://www.apple.com/itunes/download/ (it's free)
iTunes tutorial:
http://www.apple.com/support/itunes/...ial/index.html
I also posted a how to burn with iTunes thread on this forum.
* Oh I just realised I misread your post! lol
Are you talking about getting your music to your computer media player or to a portable media player?
Once you know where your LW dwnlds are you can direct your media player to that location to import them. Tools>Options>Saving