Since WMP is simply a playlist player; ie: it plays the songs from the location they were added to wmp. So I would recommend 1st moving them to your personal Music folder before adding them to wmp. To add you can either right-click the files or open wmp & use the add function.

To find your music in your downld folder, 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 downld folder will open up for you. You can then drag & drop or cut & paste into your main music folder.