Move the songs to your music folder. Go to LW's Library window & select Saved Files & press Explore button & this will open the folder up for you. Then you can cut & paste or drag & drop to your usual music folder. Then in WMP use the add media files function to add them from the music folder.

Another way is to use the scan comp for media files function in order to add them. Problem with that though is if you move the songs out of the LW downld folder then WMP won't be able to find them.