Hopefully you'll find this link of help: How to transfer music to my iPod (& iTunes)

It's actually one of the Stickies at the top of the Open Discussion Topics section.

BTW don't get confused with the LW playlist within iTunes if you have one. That's simply a playlist that reflects the songs in the downld folder but the songs aren't actually in the iTunes music library. That playlist can play but not copy or burn, so you need to properly copy the downloaded song files to the iTunes library via iTunes program being open & being added via a no. # of techniques.