m3u files are playlist document files. They don't contain music but simply point the player to where the music files are found.

What you should do is go to LW's Library window, select the Saved Files folder & press the Explore button & this will open the downld folder up for you. Then you can drag & drop or cut/copy & paste to where ever. You can burn them from this folder. Drag & drop them onto your burner program. Your downld folder location can be found here: LW's menu bar, Tools>Options>Saving which will tell you the location & directory path.