m3u are playlist files that don't actually contain any music. You'll have to add the original files that you've downloaded to your player. Tools > options > saving will show you the location of your saved folder (by default it's C:/Documents and Settings/your name/Shared).
You can add these to your WMP by file > add to media library. Either search the computer or monitor the saved folder (this will add new songs to the media library after you've downloaded them)