I don't use WMP for burning, but if I understand correctly from here (
http://windowshelp.microsoft.com/Windows/en-US/Help/51a88740-abda-4144-9176-cec79cca31e81033.mspx#ETBAC), you have to create playlist first:
Check that the burner is connected to your computer. If it is connected, and you haven't yet created a list of files to burn, simply exit and then restart the Player. Once you do so, the Player should recognize your USB burner. If you had created a list of files to burn, you can save the list before exiting the Player by doing the following:
1.
Click the List button at the top of the List pane, and then click Save Playlist As.
2.
Type a name for the list, and then click Save.
3.
Exit and then restart the Player.
4.
Click the Burn tab. If you have multiple CD burners, click the arrow below the Burn tab, and then click your USB burner.
5.
In the Navigation pane, click Playlists, and then drag the list you had saved to the List pane.
6.
Click Start Burn.