It’s rather unusual for software to come with no instructions. Have you tried the help button? I’d look at the setup or configuration to see if it specifies where MP3 files are to be stored. Since someone sold it to you, they should offer some support.
As far as burning, unless you want to make an audo CD playable on standard CD players, putting your MP3’s on CD is as simple as placing a blank CD in the drive and dragging and dropping the files to it.