Burning info
http://www.gnutellaforums.com/open-discussion-topics/27006-burning-audio-cd-your-mp3-s-windows.html

If you're using the LW player, you can make a playlist. Highlight the song, click 'enqueue' & it will go down into the playlist window.
Making playlists

A lot of people disable the LW player (it's not that good) & make something else default player. In this case, just create playlists within your other player