Type in the artist name in the search box & press the Search button. Once the results show, select the one you want. But you'll find more than one result so choose the one with the most sources under the # column. Once it is 100% downlded, LW will transfer it from the incomplete folder to the downld folder which by default is normally called shared. Go to LW's Library window after downlding the song, then select the Saved Files folder & press the Explore button & this will open the folder up for you.

It might be an idea to see some of the threads here: Downld/Upld Problems Sticky