Go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you. That's where your downlds are. So you can right-click & open with ...wmp, OR move them to your Music folder before adding to WMP.

Normally the default location is C:\Documents and Settings\"your account name"\Shared