You're doing it wrong.
Windows Media Player doesn't store any songs. It's library is only A LIST of songs, which have to located somewhere else.
For instance, I have all my songs stored in C:\MP3. When I open WMP, I can create a library out of those songs, but WMP stores only a list of song, which belong to created library. Songs them selves are still in C:\MP3 folder.
If you want to record any song to CD, you must point Roxio to a folder, where those songs are stored.
Also, to get music out of regular CD, and out to your hard drive, that CD has to be ripped.