I am new to this program and I can't seem to figure out where and how I am supposed to save my downloaded songs in order to burn them using my media player?

I feel like an idiot here...will someone help?

Help? Sure (read the forum rules to get an idea of what info others need to help you )

In the meantime, your completed files are automatically saved to the folder set when originally installed, usually called "Shared"

So, go to the program that you normally use to burn, and use whatever commands it uses to choose files, and point it to wherever your Shared folder is kept.

sorry to be so general, but each platform and version has too many differences to list at once.

Cheers