Yes you need to download at least a % before you can preview it.

Your mp3's are saved to your downld 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 the files from there or direct your burner program to that location. The location is listed under LW's menu bar, Tools>Options>Saving.