There should be a manual that comes with your IRiver player. If you don't have one you can get one here:
http://www.iriveramerica.com/support/ultra/ & just click on your model & you'll see the option to downld a manual in PDF format. ie: You'd need acrobat viewer to open the manual. BTW if the above link is not correct for your type of player then select the appropriate section under the Support drop down menu at the top of that page.
To know where your LW downlds are, well the default location is here: C:\Documents and Settings\"your account name"\Shared
Unless you set it for somewhere else. You can find out by going to your LW menu bar, Tools>Options>Saving & this will tell you the directory path of your LW downld folder.
You can also go to your LW Library window & select Saved Files & press the Explore button & this will open the folder up for you. You can drag & drop or copy & paste the song files from there to where ever you prefer.
Ah beaten to answer by ultracross