You'll need to find your LW saved folder. In the LW library, click on Saved Files then click Explore...your saved folder opens. This is where you add files from.
When your player's plugged in via usb, it should show up in My Computer. Open it & then add files from the saved folder (drag & drop should work, if it doesn't then check the player's manual for more instructions).

If you're still stuck, let us know what brand & model of player you have. Or use the forum search, there might be an old thread that will help.