When you put in a blank CD, a window comes up. click on burn files to disk. Then you can access the folder that you put your files in and burn them.
Welcome to Cute - you will certainly find it home from home! My advice would be to download the designs into a folder on your computer. (Just select pes from the format list and browse the location to save.) When you have done this you can put them onto CD using your usual CD burning software. Then you have a working folder and a back-up.