Drag and drop the song files from the download folder, not the LW program. You drop them onto the Library icon at the top of iTunes playists.

An alternative is to go to iTunes File menu ... Add to Library. Then direct it to where your LW download folder is.

For fast & easy access, go to your LW Library window, select Saved Files folder or Shared 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.

I saw someone else have a problem and it was due to their folder permissions. Check the folder permissions and make sure you have "FULL" permissions for both the LW download folder AND the iTunes Music Folder.