In the link LOTR and I both specified, RaaF says that you should go to C:\Documents and Settings\"your account name"\Shared
, so you don't really need to go through the Library tab and such.
If however you have changed the default saving location, then go to Tools->Options and the Saving, then use your browser to go to the location specified there. Do your stuff with Nero from there.

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-