The + icon might be in a different location if using WMP 9 or earlier such as at top of WMP's window of media library (need to click on media library tab to get to appropriate window).

By default My Music folder is found at C:\Documents and Settings\Account name\My Documents\My Music
WMP 9 & 10 go to that location by default when choosing Add Folder.

If you are using LimeWire & all your music is there, you need to find your LW download folder; this link has some suggested locations you might find it If you updated LimeWire & cannot find your Downloads