Converting cd g DOWNLOADS to CD R....PK does not work!...?

Please don't tell me to download Power Karaoke b/c I downloaded the trial version and it didn't work. There are certain websites where you can download CD G files (for a price) I don't know how to burn the files onto a CD-R however. Anyone know of any good programs free OR at cost that actually work for this? I have windows vista by the way.