Too many people think because they see songs in LW's playlist in iTunes that they have been transfered. In fact no. Only on Mac OSX does iTunes actually physically copy the songs to its own library. On windows, the playlist you see is simply a playlist, it points the player to where the song files were when they were added. In this case your LW download folder. So if you have moved or deleted them from there, then iTunes won't be able to find them. (1) To properly copy songs to iTunes music library see How to transfer music to my iPod (& iTunes) {click on link}.
(2) To find your files you have downloaded, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you.