Your dwnld folder is where your files are transfered to by LW once they have 100% completed dwnlding. It's location can be found out by going to LW's menu Tools>Options>Saving & this will tell you the name, location & path of your LW Dwnld folder. This is where you need to direct Nero to find your files.

If you also shared your LW dwnld folder, it would be listed in your LW Library window. In which case you could select one of the files in the list & press the Explore button & this would open the folder up for you. You could then drag & drop the files into Nero if your OS supports this.