First thing you need to do is find your LW saved folder. In LW tools > options > saving will show you the location. If you go to LW's library, highlight a file & then click Explore...your saved folder will open. This folder is where you have to look, when adding files to burn

Check out these threads for more info.
Burning an audio CD from your MP3's
Windows Media Player 10 Guide: Adding Songs to Your Library and Burning CDs

Make sure to burn an audio CD, unless you're sure that your player will play mp3 CDs (lots of players won't).

Also make sure that you have the right sort of CDs...lots of players won't play CD-RW (re-writeable). If you're not sure what kind of CDs your player will play, stick to CD-R (recordable).