Your CD-RW comes with a program for that. So you'll have to learn the program. If you have windows xp you can do it this way. Put a blank cd in your drive. Then go to my computer, and open the blank cd. Then simply drop your video clips into the drive, which your blank cd is. On the right hand side, you have your options. Just click Copy to CD.
For your second question, your going to have to change the path. This will be under OPTIONs, on the top of the screen. Right next to FILE. Just change the path to w/e HDD you want.
Finished With TF.