Computer Experts please Help!

[Yesspaz]

I have been scouring the internet for free mp3 downloads, and of course have found tons of stuff to download. Occasionally, however, I run accross something I want to download that is in .wma format. I download it, into a temporary folder (not given a choice), and I can listen to it in WinAmp. As long as I keep WinAmp open, I've got the song. I can listen to it, the listen to AM for an hour, then listen to it again. However, whenever I close WinAmp, it's gone.

Does anyone know how to permently save wma files to hard disk so that they can then be burned to cd?

Thanks for your help, Yesspaz.