Go to LW's Library window, select one of those files you downloaded. Right-click that file & choose Locate on Disk. The LW download folder will open up on your desktop with the files inside. Now, drag & drop the music files onto iTunes Library icon.

To save having to do this in future since you're using LW 5, go to LW's menu bar, Tools menu then Options, then click the Downloads tab. You will see an option at bottom of that option window which says do you wish to copy songs to iTunes. Make sure you tick/check it to mean yes. Press OK button.