Go to your LW menu & Tools-Options, look at Saving & see which folder you are dwnlding to (you cannot drag the files from your LW window to any other applic. The window is purely a reference.) Use Explorer if necessary to find this dwnld folder. Now try again with Musicmatch. The files MUST be saved somewhere on your computer! In future, make your dwnlds folder somewhere easy to find. Even put a reference to it into Explorer so it's easy & quick to find! You can change its location via the menu-Tools-Options-saving prefs menu.
Not having a pc version LW I sometimes forget the menu bar is a bit different. Options is found under Tools; ie: Tools - Options - Save
Hope you solved your problem.