Ok. It seems you haven't quite tired my previous advice yet. This is what I want you to do. Go to your download folder, that is, the folder where you downloaded files (legally I assume) is on your harddrive. Find the physical file you are trying to transfer. Launch itunes. Drag the physical file from the finder into an itunes playlist. That should work.

I suggest making an "alias" of the "Download Folder" on your desktop so you don.t have to search thru your drive to find the files you want, Makes it so easy to drag and drop.
Personally I created the actual "Download Folder" on my Desktop.

Dave