You should be able to do this...

Open LW...tools...options...saving

Either put the location of your 'my music' folder on top (if you download only music), or click on audio and then choose your 'my music' folder.

Good Luck

Or do you mean your music library? Windows Media Player automatically monitors the 'my music' folder for your music...I haven't used VLC, so I can't say what options that player has.