Your mp3 player should have instructions about how to import songs. Do you know where your LW dwnld folder is? Your LW dwnld folder's name, location & path can be found out by going to LW's menu Tools>Options>Saving. Also if you have LW 4.2, in your LW Library window there will be a folder called 'Saved files'. Click on this, & then click onto any of the files listed to the right of it & press the Explore button. This will open the folder up for you.

I don't know about WMP.

If your mp3 player is an iPod then you should have iTunes. Once you connect your iPod it will automatically upate with iTunes playlists.