Check
http://www.gnutellaforums.com/window...downloads.html as changes have been made for windows users. I haven't used the new version on windows so can't test your issue. My new computer has taken over 3 weeks to arrive & still waiting.
One point I will make though is sometimes LW can be fussy about launching files if the files are not being shared. As for iTunes, I don't necessarily agree with the idea of downloading directly to the iTunes music folder but some people do it with success. Make sure iTunes settings are to keep all files in its library. And re-launch iTunes after new songs have downloaded. That should help force iTunes to re-organise it's library so the songs are properly recognised & organised.