I guess it depends what type of player you have. Certainly would doubt you could downld directly to your player. But for transfering from your computer to the player, well did you check the manual that came with the player? In many cases such players are mounted like a drive when they are connected to the computer. So simply drag & drop across from the computer to the player icon's music folder. However, some players do require a 3rd party program to help interface between the computer & player & transfer is done via the program. By default, your downlds are found here C:\Documents and Settings\"your account name"\Shared
Also, 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 from there.

Oops, I missed the part you mentioned about iTunes. For transferring to iTunes, see How to transfer music to my iPod (& iTunes). ie: totally ignore the LW playlist you see in iTunes. It is simply a playlist that reflects what songs you have in your LW downld folder. But you can only play, not copy or burn from that playlist. And if it's an iPod you're refering to, then there's links to instructions on how to use. I always recommend manual updating of the iPod so songs of choice are simply drag & dropped from iTunes Library to the iPod.