First you need to locate your downloads. Go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here:
Using Library Explore button to access download folder - Link & the folder will open up for you. Doing this will tell you where to import the music from.

Now open WMP and choose to monitor that folder (I don't use it myself, so can't give you more specific info on how). I know the option to do that is there.

After that your music is in the library of WMP too, and you should have no problem burning from there.