You'll need to find your saved folder, where your downloads live. In LW, tools > options > saving shows you the location. By default (Windows) the location is C:\Documents and Settings\your name\Shared.
In LW's library, click on Saved Files & then click Explore...your saved folder opens & you can add from this folder to your media player.

Depending on which player you're using, you might be able to have songs added to your player by monitoring the saved folder. WMP lets you do this (file > add file to library > by monitoring folders) , not sure about some other players

If you need more help, let us know which player you're using.