Go to _www.dbpoweramp.com and download dBPowerAMP Music Converter and the OGG plugin (don't miss the other ones) and after installing, right click on the OGG file -> convert to -> select MP3 (LAME of course) and just wait for a minute and it is done.
Cheers,
El_Matador
PS: that I know there is no burning application that can burn OGG files.