There's a heap of info about iTunes here
Transferring music to iPod & iTunes

For WMP first find your saved folder. LW library & click on Saved Files, this shows you the folder location. In WMP go to Media Library, click on Add >by monitoring folders & add the saved folder & OK. Now WMP will add to it's library automatically. If you don't want it to automatically add, either drag & drop from your LW saved folder or go Add > by searching computer