Depends what type of player. I presume you mean a portable player. Check the manual that comes with it. Your LW downlds by default are usually saved here: C:\Documents and Settings\"your account name"\Shared

For fast & easy access, 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.

Most players will use an intermediate program to help transfer songs. Some will show up on the desktop as soon as you connect them so you can just drag & drop them.

What's your brand & model of player?