Just look on Google! Search for 'transfer music to psp' or something similar... you'll find heaps of info.

You'll just have to know where your LW downloads are saved, if this is what you want to transfer to psp. Go into LW, tools > options > saving. This will show you the location of your saved downloads. Or, within the library, cilck on saved Files then Explore. This opens your saved folder. Add from here.

For burning, there's a great big sticky (in red) at the top of this page "Burning an audio CD from your mp3s"