Depends which version LW you are using. If LW 5, Click on Library tab, find the song, right-click & choose Locate on Disk which will open that folder on your computer where your downloaded files are. To add to WMP, right-click & choose Play, but that's only if your LW media player is turned off.

Otherwise perhaps see http://www.gnutellaforums.com/tips-t...rning-cds.html

If using LW 4, click on Library tab, select Saved/Shared folder on left side, hover your cursor over the song & it will show which folder it is in on your computer.