LW music is not filed in my computer like CD's are
 

I can download into the LW library just fine. What I have been doing is transfering the songs from the LW library to the My Music folder in my computer, then I delete those songs from the LW library. The problem is that when I leave LW and then go to My Music folder and try to listen to the songs I thought I transfered from LW, I get a message box that says: "Windows Media Player cannot play the file. If the file is on another computer, verify that you are connected to the network. If you typed a path, verify that it is correct. If the problem persists, the server might not be available."

I probably am not understanding how LW works at all. How am I suppose to create a permanent way of keeping the music files I want?

So far, I have been unscuccessful at finding information about this on my own (I don't figure things out very well on my own because I have comprehension problems)