using windows explorer make a folder in a location you want to save your music. Remember the name and location of the folder.

In LW tools>options>saving --- click the browse button and find the location of the folder you just made. Then click select. Then apply then okay. Your music will be saved to that folder now, along with anything else you download.

You can create different folders using windows explorer and drag and drop between folders.

I would also suggest raising the number of days to keep incompletes as the default setting is 7 days. I have mine set at 100.