Using XoloX. The downloaded music files are in -
C:\Program Files\Xolox\Downloads - which is where the icon on your desktop is pointing to.

In WinAmp you can leave the files where they are and use the ADD button on the WinAmp playlist window there you can add files individually or by the entire directory - again you will need to click ADD then either Add DIR or Add File then navigate to C:\Program Files\Xolox\Downloads
I hope I interpreted what you are asking correctly.