You'll have to transfer the mp3 file, rather than the m3u playlist file
In LW tools > options > saving will show you the location of your saved folder.
If you go to LW's library, click on Saved Files then Explore...your saved folder opens. Add to your player from this folder
explanation of a m3u...
http://www.gnutellaforums.com/showth...&highlight=m3u