Which version of LW are you using?
The way to make sure is drag & drop the music files onto the Library icon at top left of iTunes (above the playlists.)

If not sure where your music is, I'll need to know which version of LW you are using.

BTW LW 5 can auto-import the music files. But that setting needs to be turned on.

Go to LW's Help menu, select About .. it will tell you which version it is.