This may be a really stupid problem, but I can not figure out what happened.

I downloaded a lot of music and it is on my playlist in the library, but not in my library, I can not save this music or transfer it to my IPOD. I don't know how it got to my play list without being in the library. Can anyone tell me how to get these songs into the library, saved on my computer or transferred to the IPOD? Would be greatful, Thanks, B