You need to know where your LW saved folder is. In LW tools > options > saving will show you the location. By default it's C:\Documents and Settings\your username\Shared. This is where your downloads live & where you'll have to look when transferring to your mp3 player.

If you go to your LW library, click on Saved Files & then click Explore...your saved folder will open. Add from here to your mp3 player. Follow the instructions in the player's manual or see if you can drag & drop into your player from there.