WMP is a playlist player. So the files will be added to its playlist from where you add them from. I presume your normal location for storing music is your Music folder in your account folder or the main music folder. I'd suggest you move the music files to whichever one you use of those & then add them to WMP's playlist. Using windows media player

Well some of us use iTunes because it has its own music library. WinAmp is a good program.