Go to your LW library. Click on Saved Files then Explore... your saved folder will open up for you. Or, within LW go tools > options > saving & this will show you the location of your saved folder (by default it's C:\Documents and Settings\your name\Shared). This is the folder that you have to add from when adding songs to the WMP library.

To add the songs to WMP library, open the WMP library, click on ADD (green +) > by searching computer > browse until you find your saved folder > ok > search. Now you'll see the songs being added to WMP.