See
http://www.gnutellaforums.com/showthread.php?t=56363 & follow the links. I'd recommend moving them to your music folder BEFORE you add them to WMP. WMP is simply a playlist player. It doesn't create its own music folder. So if you add them from LW's downld folder but later move or delete those files then wmp won't be able to find them. At least if you move them to a music folder 1st, before adding to wmp, they'll be safe!