Are you getting this message when you're playing the songs with something other than the LW player? Sounds like you might not have added the music files to your player's library properly.
Within LW tools > options > saving & you'll see the location of your saved folder. This is where you have to add songs from. If you go to your LW library, click on Saved Files then Explore, your saved folder will open - you can probably drag & drop to your music player's library!

If this isn't the problem, you'll have to give a bit more info.