You drag them from whichever folder you downloaded the actual files to (not the torrent files) to the program you want to use for burning (eg WMP).
With WMP, you drag them to the player and click on burn, I think (I don't touch WMP, Don't like it - I use Nero and absolutely HATE Itunes).
Don't like messing with playlists etc, I like to drag and drop and burn away

If it doesn't work, post back and tell us the problems.
(Post back and tell us if it works as well - always nice to know if a member got sorted!).