You need to add songs to iTunes 1st & then when you connect the iPod you have the option to update the iPod manually or automatically. I would recommend updating it manually!!! There's also 3rd party softw which can help. See points about these here:
Adding Songs to iPod & iTunes (click on link) Hope this helps. There's also an iPod/iTunes forum & at the Apple site there's tutorial movies for both windows & mac for both iTunes & iPod.
Oh the default location for your downld folder is C:\Documents and Settings\"your account name"\Shared. Or you can open the folder by going to LW's Library window & selecting Saved Files & pressing the Explore button which will open the folder up for you.