If you have a look at the preferences of the LW for windows, you'll find some small differences to the mac version of LW. For a start, the mac version has the ability to automatically import the songs into iTunes. Whereas for windows, you need to manually add the songs as per THIS (click on link). But as far as the LW playlist within iTunes goes, then you probably don't have it set for windows. You'll need to go to LW's preferences, ie: Tools>Options>iTunes>Sharing & tick the option for Share my Music.