First of all, don't feel stupid. Downloading music is pretty darn complicated - at least until you are used to it. In fact, unless you are going to be doing this alot, you are probably better off just going to somebody who does download all the time, and have them do it for you.
Second, you have to make a basic decision - do you want to pay and download your music legally, or go the illegal download route. Note - I'm sure the whole morality of illegal downloads has been debated to death around here, so there's really nothing more to say about it. I also suspect this boards owners aren't really keen on having people discuss the how-to's of copyright violations, so if you want to go that route, you should probably turn elsewhere for advice (pretty much ask any teenagers and they can help you out.)
If you decide you do want to do this yourself, and you want to go the pay-for-music route, stop back and ask for more details. But here's the basic steps you'll need to take.
Join a service and download their software. There will be all sorts of pricing schemes to choose from. Most want you to pay a montly fee that gives you tons of access to their music. Others will let you just pay to download, but they still make it complicated.
Hope the service has all the songs you want, download them, and burn to CD.