Normally I'd recommend moving the songs to My Music folder in your user account. Then adding them to WMP's playlist. 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 files over to your music folder or wherever you'd prefer. Then open WMP, scan for new media files in the Music folder. More about this here
Using windows media player