Um ... iTunes will arrange songs according to their id3 tag. If they haven't been properly tagged with album info, etc. then iTunes will stick them at the bottom of the list as unnamed album. Same applies for other details such as artist. So have a look at the bottom of the iTunes library list & see if any of those files you are worried about are listed there. It's a constant problem for me. I use a separate program to retag some files before adding to iTunes or I'll retag them within iTunes.

iTunes can't import certain file types. Among those it can't import are mp3 pro, ogg vorbis, realplayer files.

As I said earlier, the LW playlist is simply a playlist. You can ONLY play the songs that's all. You can't copy them.