Now i wanted to do the same thing except to a pen drive, but i dont know how to download from my amazon cloud...
Try this. In your Cloud, left click on a title or album. When it opens, tick the box next to what you want to download. The "download" button should now be available. Click that; if it asks you to download a program, click OK. It should now download.
Incidentally, regarding my original query, when I selected what I wanted (mp3 files)in Windows Media Player and told it to burn, it produced a disc which plays in my CD player.