See if this helps:
http://www.gnutellaforums.com/tips-t...rning-cds.html
Perhaps you are trying to burn the CD using the links to your songs (the playlist files) instead of using the mp3 files? Use the guide I made and make sure you can navigate to the folder that contains your songs. If you don't know where it is, go to the Library tab in LW, click on a song, and click 'Explore' in the bottom left corner of the screen. The folder that contains your files should open.
Good Luck
Dan