Hey, I'm from California too. Fresno to be exact.
First of all, you need a program to DL music from (i.e. Morpheus, Kazaa, IRC). I use audiogalaxy as it provides the best results for the music I look for (bay area rap). Once you have the music downloaded to your hard drive, you can use a recording program like Easy CD Creator or Nero, and burn to your CDR-W. Alot of folks have had problems using Easy CD with XP, however I have yet to experience any trouble. I believe MusicMatch also works well.
If you want this music to play in a car or other CD stereo, you must use a CDR and finalize the disc. Hopefully this helps you out.
Also, Nero has a good help file, just read that and it will put you in the right direction. Let me know if you need anymore help!