For Windows Media Player 10

Step 1 - right-click the link ("Download WMV File Now!")
 
Step 2 - select the "Save Target As" (Internet Explorer) or "Save Link As" (Mozilla Firefox) option from the menu that appears.
 
Step 3 - save the file to your hard drive (*Remember where you've saved it)
 
Step 4 - Open Windows Media Player

Step 5 - select the "File" Menu (*appears when you click the down-pointing arrow on the top right corner of the program), then "Open" and find the file where you saved it and click the "Open" button

Step 6 - the song will appear under the "Now Playing List" on the right.  right-click the song and select "Add to" and then "Burn List"  

Step 7 - click the "burn" tab (top left)
 
Step 8 - click "Start Burn" (left side)