Playlist.com questions

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I was just wondering about Playlist. I have a list on my MySpace page, and I just figured out that I can play it in the Windows Media player. So will that stay there without opening Playlist.com, and can I burn a cd from it? This is all fairly new to me, since until recently I had a Compaq with Windows 98 and a dial up connection! I gave up trying to download or do anything with videos or music, lol! Things have changed a bit in that time!