Unless someone has a better idea, I'd suggest you move your songs out of the LW downld folder & put them into a music folder. Then within WMP, click on the library media tab & click the add button at the top & direct it to the music folder.

To find your downlds, go to LW's Library window & select Saved Files folder & press the Explore button & the folder will open up for you. You can then cut & paste or drag & drop the songs to the other music folder. By default your downld folder is found here: C:\Documents and Settings\"your account name"\Shared