After downlding the file, I would recommend moving it before adding it to any playlist of any other player. 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. Then drag & drop or cut & paste the music files into your Music folder where you normally keep your music. Then open it with your normal player.
What type of audio files are they? If they are m4a/mp4 then you may need this codec:
http://www.free-codecs.com/download/3ivx.htm
There's other audio codecs at that site such as this
http://www.free-codecs.com/download/...er_3_Codec.htm