What I'd recommend is moving the song files from the LW downld folder to your Music Folder. Then adding them to WMP. 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 just drag & drop or Cut & paste them to the music folder. Then to add them to WMP, see
Using windows media player