joshdomingue got it right, google will give you dozens if not hundreds of results, those listed on the first page are usually the best. Same can be done to save the videos as videos as well.
For songs, go to MP3skull.com. Search for you song, or band, when the results pop up, choose the song you want, right click the green download link beneath the song (not the big green Download on the right, its an AD), choose 'Save As' and save it. Voila.
To burn to a disc, you need a burn program. Nero is good. Go to Download.com and search for one. Can find a decent free one there.
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