Well you can move the songs out of the LW downld folder & into a music folder & direct WMP there to add to it's playlist. The LW downld folder by default is found here: C:\Documents and Settings\"your account name"\Shared
You can also go to LW's Library window & select Saved Files & press Explore button & this will open it up for you. Then cut & paste or drag & drop to the other folder I mentioned. This is a safe way of doing it.
Using windows media player