Search, select the song file from search results & press download button, & it will then appear in the download window. Once it reaches 100% downloaded, LW will move it from the incomplete folder to the download folder which by default is normally called Shared. You can preview songs whilst they are downloading but only as much as you have downloaded. eg: if you have downloaded 10% of a 4 minute song, then you will be able to preview up to about 20 seconds. To locate the songs after downloading, click on the Library Tab so the library window opens, then ... 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.

More information can be gained from here: Userguide & also FAQ