What do I do when Drag and Drop doesn't work with Real Player and burning CD's?

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I have some audio things (narrated stories) that i want to put on CD. I have one (a book) on my C: drive. The others are on the site they came from (Old Radio shows). I can play any of them on my PC so I know there are there right. I want to copy them to CD to give to my grand kids for a vacation they are going on for "entertainment' during the long drive periods. I did this for my kdis when we traveled and it was so much fun as well as being a life saver and some of them are the same as athe ones I had for my kids... only then we had a cassette tapes which was so easy to use...not as complicated as these days! But anyway, I have RealPlayer and opened RealPlayer (updated it too) and opened where they were on my PC. I was intending to do the "drag and drop" feature to get them from the PC to the CD burner play list feature on Real Player.... however..they don't move! Seems the drag and drop feature is not working for some reason or am I doing something wrong? OR are they on the pc incorrectly so that they can't be moved? Anyone got any ideas how to get these from PC to RealPlayer so that I can burn the CD?