In LW tools > options > saving will show you the location of your saved folder. By default, the Windows location is C:\Documents and Settings\your name\Shared. If you go to your LW library, click on Saved Files & then click Explore...your saved folder will open for you
This saved folder is where you have to look when adding files for burning
Burning a (audio) CD from your MP3's (Windows) Are you trying to burn karaoke files...you've posted onto a karaoke thread. If you're not, please let me know so that I can move your post!