recording music from MS Media player to Recordable Disk

Hi i wounder if any one would beable to help.
i have paid to down load music with MS MEDIA PLAYER
and i wanted to record the songs on to a disk
it came up with details that it,
could not record to the disk,
either because the recorder might not be compatable or
conected.

is there any way i could use a different recording
device to put the songs on to a disk?

your help would be apreciated.
many thanks
Mr Ian Pugh
U.K. (WALES)