let's keep this 'straight' here...

one does NOT download media into WMP...one imports the location of the media so that WMP knows where it is (which drive, directory)...said media is still where it was placed originally...try this to prove it: move the file to another place on your computer and try to play it from WMP's library...NO GO!...WMP no longer knows where the file is...hence the files are NOT stored in WMP...simple as that

anyways, da1nonly's advice about dragging and dropping should work, as most mp3 players are also portable storage devices (essentially external drives) and are seen and used as such by Windoze XP.....

glad to hear you got your problem solved though