Go to your Library window. Click on the library tab. If you don't see it, go to View menu, Hide/Show & select Library. In the Library window will be folders. One will be Saved Files folder, one will be the name of the downld folder (called "Shared" by default), & an incomplete folder. There may also be other folders if you chose to share more folders. 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.

Else click on the Saved Files folder or Shared folder & click on the song file, & press Launch.