Files you start to downld need to be 100% downlded before you can use them. Once they reach 100%, LW will move them from the incomplete folder to the downld folder which by default is usually called the Shared folder. For fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you. Then you can move these files to where you want them. Just cut & paste or drag & drop. The default location for downlds is C:\Documents and Settings\"your account name"\Shared

You can double-check this by putting your cursor over the Shared folder in the library window or else, go to LW's menu bar, Tools>Options>Saving & this will show you the save directory. Just use that for burning from. eg: Burning an audio CD from your MP3's