As Quizmonkey says 'just follow the instructions...' but make a note of the folder that the music is being saved in or (like me the first time I did it) it may take you a while to find it again. You can alter the 'save' folder if you wish to one of your own choosing. Nero is a good one to use for burning (I use one called Roxio) but no, you don't have to convert mp3's to wav files to 'burn' them, in fact wav files take up more space on your hard drive.Most p2p file sharing sites (for music anyway) will already be in mp3 form, so no need to do anything with them.