what on earth do i do now!

[jedcop]

this may sound very stupid but i am new to this downloading stuff.i know how to download it but what do i do next to be able to hear what i"ve downloaded.i did copy the stuff onto cds but i cannot hear anything on the cds,my windows media player does not play any of them either..can anybody give step bt step instructions on what to do from the very begining..thanks jedcop