A kind gentleman named Mr. E. (or is that Mystery....hmmmmmm)
Helped me out with the same problem.
I downloaded some MP3's, it showed them as complete downloads, but with a message stating that it "Could not move to library". I checked the library and found the complete (and functioning files in the "Incomplete" folder. However, I was unable to move them any where.
Mr E suggested that I launch Sherlock and do a search for the EXACT file name that showed in the Incomplete folder. Once Sherlock found the file, I was able to drag it directly to my MP3 folder on one of my HD's, change the file name to something more legable (L W adds some weird crap at the head of the file name) and Bob was my uncle!!
I hope that this helps you (and others suffering the same affliction)!
Good luck,

Rye