I use MusicMatch and it works well.
All the files you have listed in your player are only links to where your files are on your hard drive.
You can test this by moving one of your files to another location on your hard drive. Then go to your player and try to play that file.
Can't ! Because the link won't work anymore, 'cos you moved the file!
Don't forget to move it back, or if you move files to another location you prefer, you have to clear out the files listed in your player and import the folders/files to MusicMatch again.