Have a closer look, it says Enable iTunes importing. That means that the songs will automatically import into iTunes seconds after completing downlding. If this is unticked, it means you'd need to manually add them as suggested above. To do it manually I was meaning drag & drop from the LW downld folder. But yes, you can also drag & drop from LW if you wish. Go to the LW Library window>Saved Files folder, select a song file & drag & drop it onto the iTunes icon in the Dock. You do know what the dock is don't you?

For other manual techniques of adding to iTunes see http://www.kapsi.de/files/itunes.html