BTW the LW program folder is a disastrous location to save your downloads to. If you updated LW, it would install over the top of your downlds & erase them. The default location is here C:\Documents and Settings\"your account name"\Shared

Drag & drop the song files onto the Library icon at the top of the playlists in iTunes. ie: How to transfer music to my iPod (& iTunes)

For fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you.