Are they listed in your LW Library window? If yes, right-click & choose Locate File on Disk. After downloading files, you should be able to see them in the Library window.

If using LW 5 as you are, you can have songs auto-transfer into iTunes Music Library. LW's menu bar, Tools -> Options -> Downloads, check option for iTunes. You need to have iTunes settings set for Copy music files to music folder when adding music which is found under Edit menu -> Preferences -> Advanced. (see example in link below)

To manually add songs to iTunes, see How to transfer music to my iPod (& iTunes) {click on link}.