Hey there,
Not totally sure what you mean, but it sounds like you want to know if while your downloading files can you put them onto CD right away? If this is what you mean, no you can not. You have to download the files first then when you have enough to make a CD then you use your media player/library/burner to "burn" the files to CD. Your media player will process the file and prepare them to be burnt. If you do not understand this please ask, and I will explain better. And if this is not what you were asking at all let me know what your meaning and I'll get back to you.
Later...