First, find out where your downloads are saved. LW library > click on Saved Files > click Explore. This will tell you which folder your downloads are in.

Now in WMP, go to Media Library. Click on 'add' up the top. Choose 'add folder'. Now find the folder your downloads are in & click 'ok'. Your downloads will be added to your media library & you can listen to them.

If you don't want the whole folder added, just choose 'add file' instead of 'add folder'. Just look for the downloads folder again & add files from it