You can change the location for saving downloads, so that downloads save to My Music.
Tools > options > transfers. Save all downloads to one folder > browse for My Music > select that folder > click ok. Now click ok again on the main options page.
If you don't need downloads automatically added to iTunes then you can turn that option off in tools > options > My Files > configure how files in LW interact with iTunes > untick the option to automatically add to iTunes > ok. Now click ok on the main options page.
If you're not happy with LW 5 & would like to revert to a version of LW 4, check out the post here & follow the links within for more info:
http://www.gnutellaforums.com/window...de-lw-4-a.html