First off, you can't download music directly to a CD and expect it to play in a CD player. Download it from iTunes or a similar media program. After you do that, burn it to a CD following the program's guidelines. Fairly simple.
First, you download the music to your computer, then you copy, or "burn" the music file onto a CD. You will need a CD burner. If you burn mp3 files to the CD, you must have a player that can read that type of file.
You do not download music from the internet straight to a CD. You first download the music onto your computer. You store it in a file on your computer. From there use a CD burning program, Windows Media Player is simple and comes preinstalled with most computers. From there just follow the pictures WMP is very easy and well labeled.
Put new disc into computer and download music file from website by clicking (possibly right-clicking). When asked, select "Save" or "Save target as... ", choose your DVD RW drive.
Downloading music to a CD is actually called burning and requires specific materials. First, you must have writable CD's (CD-R's) specific to music, a re-writer drive and re-writing software. To burn a CD, place the CD into the re-writer drive, move the desired music files into the CD-writing program and burn the CD.