I've never used the playlist so I'll get to the 2nd part of your question. To find your LW dwnlds folder: For mac OS go to Prefs & Saving (this'll tell you the name, location & path of the folder.)
For pc Windows, go to LW's menu-Tools-Options-Saving & this'll tell you the name, location & path of the folder. If necessary use MS Explorer to locate this folder. It's a good idea to keep some type of reference to where your LW dwnld folder is (or even change its location via LW's Saving options) so it's easy & quick to access.
For instructions of how to get the mp3's to your CD burner, have a look at this thread: http://www.gnutellaforums.com/showth...threadid=25972
Hope that solves your problem.