Some people say save directly into the iTunes music library. But I don't recommend it.
For windows, there is no auto-import in the way mac osx has. You need to add them yourself. Drag & drop the files onto the Library icon at top of the iTunes Playlists is best way. iTunes will not import the same song twice on condition all details are identical. In iTunes preference options, you also need to set it to add new songs to music library for this to work.
How to transfer music to my iPod (& iTunes) {click on link}