Steve, are you using Windows or Mac? I don't know why you wouldn't be able to select iTunes! (I know nothing about Mac)
There's a heap of info within this thread, different ways to add downloads to the iTunes library.
Transferring music to iPod & iTunes

If you can't drag & drop, within iTunes file > add file to library. Now search for your LW saved folder, select it & highlight a file > open... it will move to the library. It's explained in more detail above!