Windows XP and MP-3 files

I am not a technology expert, but just a user, looking to make the most of this great OS. I play drums, and have come across a great URL, that teaches certain rythms that I would love to download, so that I can play the chops on my CD player, and practice them.

My question is, how do I go about downloading the MP-3 files onto my hard drive, and then to my CD writer? Thank you one and all for your help.