Question about .wma files? Please help!!!!!!!!?

Yes, i was wondering about when i go to limewire, when i download a song to save to a cd, what file type should i have it as? .wma? or should it be something else? What I do is save it first to my doents, then i put in a blank cd and copy the song to it. All would go well except i have the wrong file name. I used mp3 the first time so i know that's wrong for a cd player. Please help