I assume you mean the library of LW.
Just search for the song you want, if possible check it with Bitzi (right click in the search result>Advanced>Look up with Bitzi), click download and wait till it is downloaded. Then it should appear in the library under the complete files you share.
If you mean the library of Ipod, Itunes or something similar, please use the search function of this forum and search for it (i.e ipod library, put songs on ipod), there should be plenty of posts regarding this topic.
