Use your computer's search to look for some of the file names... once you've found them, you'll see which folder they're stored in.

Now, in LW go tools > options > saving. Now you can type in the path of the folder where your songs are located, or you can browse for the folder & then add it

If the folder that you added to iTunes (with your music in it) was within Program Files, that would mean that you were originally saving your downloads within Program Files. That's not a good thing to do - if you uninstall LW then your downloads will be gone as well! The default locations that LW chooses for saving are safe - downloads won't be lost after uninstalling. I don't know which version of LW you have, but check the thread below for info about default saving locations in various versions.
If you've updated LW and can't find your downloads!

Also check this thread for info about adding files to iTunes.
How to transfer music to my iPod (& iTunes)