It can't be done unless you're using Mac OSX.

One way would be to launch all songs you've downlded with iTunes set as your default player & set to import all songs it plays.

Unfortunately, there's no other practical way. If you set your iTunes music lib, as your downld folder you could run into major problems. Not worth the risk! It's not really so hard though to use the Add to Library ... command in iTunes & select multiple files at once.