This is assuming that you are using Windows Media Player 11.
Click on 'Now Playing'. Below the 'Now Playing' button, there is a small tab with an arrow pointing down. Click on this then click on 'Show List Pane'
A window to the right will open up, where you can drag your music files.
Then click on 'Burn'
In terms of your info on the D drive, select the file you wish to delete and hit the delete button. Or you can right-click on the file and select delete.