It should be easier with the new LW 5. Now, unlike previously with LW 4, you can set iTunes to automatically add the music files to it's music library immediately music has finished downloading. This should fix the problem of confusion of people who thought the LW playlist & libraries were iPod compatible.

I'm not using the windows version so you'll need to wait for someone like Birdy to come online & explain more & what's happening in your scenario.