Question: Why use Save As option? Why not just let it downld as it was. If it's an image file then use Nero to burn it as an image file. Of course you have nero don't you? I don't think wmp can burn that type of media. If it's a video, then wmp should be able to if you have the correct codecs to do all the work. Otherwise I'd suggest you get Nero or Roxio most recent versions. Have a look at these links: 1.
Burning a CD, & also this one 2.
Burning using Nero (click on link)