Which version of LW are you using? Which player?
When adding songs to your player's library, add songs from LW's saved folder. If your media player has a function to monitor a folder & automatically add new downloads to the library, you can have it monitor LW's saved folder

In LW 4: Go to LW's library, click on Saved Files. Highlight a file & click Explore. Your saved folder will open.
Or, to find the location of your saved folder you can go tools > options > saving & there you'll see the location.

In LW 5: Go to My Library, right click on a file > locate on disk. Your saved folder will open.
Or you can go tools > options > downloads to see the location of your saved folder.

If you're using WMP, there's some info here: http://www.gnutellaforums.com/tips-t...rning-cds.html