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!
Audio galaxy rules, that's the thruth, too bad it hasn't video, software sharing, among others..but it's good at it. As for the recording program, i personnaly like Nero more than any other. Quick, stable (at least with me), easy and it supports mp3 decoding to .cda. VEry nice, just download a demo from ahead.com and see for yourself.