Sorry, but you'll have to download files (they're automatically saved to your computer when downloaded) before you can add them to your player

Plug your player into your computer, go to My Computer & you'll see the player showing up as another drive.

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. If you go to LW's library, click on a file & click Explore...your saved folder will open. This is where you should add to your player from.

Now try dragging songs from your saved folder into your player (whatever drive it shows up as in My Computer). Or check the player's manual for more instructions about how to add files to the player