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. If you go to LW's library, highlight 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

Or try WW's advice here.
transfering my download to my mp3 player