If you want to burn songs that you've downloaded to CD, you'll need to find your saved folder. In LW's library, click on one of the songs & then click Explore...your saved folder will open.

Tools > options > saving will show you the location of your saved folder

Here are a couple of links about burning to CD.
Burning a (audio) CD from your MP3's (Windows)

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