| First, this is a hardware question not a network question. Second, you don't "download" songs onto a CD, you "burn" songs already on your hard drive to CD.
So, the issue is; how do you get the songs onto your hard drive inthe first place. That can be done in several ways. You can "rip" tracks from CDs you own. You can purchase individual tracks from various web sites to download. You can subscribe to a subscription service that allows downloading. You can find songs that are freely and legally distributed over the Net.
What you should NOT do is use peer to peer networks to pirate copyrighted music. Or make illegal copies of copyrighted material.
Once you have legally obtained the and stored the files, you can use your burner software or other utilties to burn the tracks to a CD drive. | 
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