It's all here How to transfer music to my iPod (& iTunes) Even though that's for LW, it's exactly the same for FW.
By default your files are saved here (unless you changed it): 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.