You've answered your own question. The Enqueue button is how you get songs to the playlist.
Once LW has downlded the songs they are already on your Hard Disk D. To access them select the folder called Saved Files & press the Explore button. This will open the folder up for you & you can move them to wherever you want to or burn them, etc. Also see bottom of page on: http://www.gnutellaforums.com/showth...threadid=36230 re: Enqueue