I presume you have iTunes. If yes, then create a playlist & drag the songs you want to burn over to the playlist. Then go to iTunes Preferences>Burning & select Audio CD & minimum speed. Then select the playlist & hit the burn button to the top right of iTunes. Remember a 650 MB cd-r can hold a maximum of 74.14 mins & a 700 MB cd-r a max of 79m54 secs. You can also decide whether there should be any gaps between the songs.
If you have Toast, then select audio tab, drag & drop the songs in, adjust the pauses between the songs as you prefer. Select the advanced options to decide on other options. If you have Jam, then you can use that to create an audio image file & then Toast can burn it.
If you'd prefer an mp3 disk, then select that option in either of the programs mentioned. Hope that helps.
Oh to find your songs, go to LW's Library window, select Saved FIles & press Explore & the folder will open up for you & you can drag & drop them from there. But many people use auto-importing to iTunes option so the songs are already in iTunes.