I hope you're talking about an MP3 player. Download the music/file to your
harddrive like to My Music directory. Then you have several ways to transfer
the files to your MP3 player. You can use Nero, MusicMatch, Roxio, etc. You
can also use Windows Media Player by clicking the Sync tab to transfer music
files. Or,if you have none of those, you can use Windows Explorer .
WindowsXP will put them in a Temporary file and then tell you that you have
files to copy to a CD. Use a new CD-R. CD-Rs with music already on them
that are finalized cannot be added to, only to CD-RWs. Once copied to a CD
XP will delete the Temporary file.
Windows XP CD Burning Secret
http://www.microsoft.com/windowsxp/using/setup/learnmore/bott_03september16.mspx
Microsoft Windows Media - Media Advice: Burning CDs using Windows Media Playe
http://www.microsoft.com/windows/windowsmedia/knowledgecenter/mediaadvice/0053.aspx