I'd recommend moving your music downlds to your Music folder in your account or the main music folder on your system. 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. Then cut & paste or drag & drop the songs into the music folder. Then, see
Using windows media player about how to add the songs to it's playlist.