When you click on a file in LW's library & click Explore, it just takes you to the folder where the file you clicked on is saved

If you're using Windows, the default location for saving is C:\Documents and Settings\your username\Shared.

So when you want to burn, you'll have to find the files in your saved folder (which is probably the one you found when you clicked Explore the first time).

These might help.
Burning a (audio) CD from your MP3's (Windows)

Windows Media Player 10 Guide: Adding Songs to Your Library and Burning CDs