Are you using the Limewire player? It isn't very good. I would suggest using your other media player.

I would suggest Windows media player or iTunes...both of these players can monitor your download folders and automatically add the songs you download to your library, plus there's a TON more options what you can do with your music, i.e. burn CDs, etc.

Here's a guide for WMP...I'm sure you can find one for iTunes if you look.

Windows Media Player 10 Guide - Adding to Library and Burning a CD

Good Luck