Desperate! Need help copying/buring audio books to CD

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I need help so bad! Is there anyone that can help me? I want to download these audio stories: http://www.otr.net/?p=jarm :to "wherever I have to" as in C: drive, My Documents..wherever, and then burn them to CD. I have RealPlayer, Nero and Windows MEdia Player. I have tried all of these, and can't figure how to copy them. I have tried direct from this site, I have copied these to my C drive. I have tried the drag and drop feature. Nothing works. Can someone, in the "...for dummies" version, PLEASE tell me how to get these episodes from the site to a CD so my grand kids have these for their upcoming car travel time on vacation. I raised my son on Jack Armstrong and now want to raise his kids on this wonderful thing called "using your imagination"