Check post #7 onwards in this thread for info about adding to iTunes: How to transfer music to my iPod (& iTunes)

If you're sure that you're doing everything right but songs still aren't transferring, try removing the iTunes transfer option from within LW's options & then re-enable it again...
In LW go Tools > Options > My Files. Click the Configure button for iTunes > untick both options > ok. Click ok on the main options page. After that, go back into LW's options & re-enable the iTunes options. Remember to also click ok on the main options page after you've finished.

I don't use WMP much, but you should be able to have songs add to WMP by monitoring LW's saved folder. In LW go tools > options > transfers. In the 'Downloads' section, you'll see the location of the folder where downloads are saved.

Now in WMP go File > Add To Library > check the radio button to monitor your personal folders > click the Add button. Browse for the folder where your LW downloads are being saved > highlight the folder > ok.
Click ok on the original 'Add To Library' page.

There's also some info here: Windows Media Player 10 Guide: Adding Songs to Your Library and Burning CDs