Depends on the player you have:
in iTunes you just use LW's "iTunes support" function and the songs are directly saved in a LW exclusive playlist in iTunes.
For windoze players I have no idea how you would do that. The only way I can think of is to find LW's shared folder and just go there everytime you wanna listen to a song.

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-