Your downloads are saved to your computer. By default, the Windows location is C:\Documents and Settings\your name\Shared. This is a safe location & won't be effected if you reinstall LW. To check your saved location, in LW go tools > options > saving...you'll see the location of your saved folder.

Unless you've changed the location of your saved folder (ie saved to somewhere silly, like within the LW program files or Application Data), your songs should be fine.

But if you're worried...do the smart thing & back up your files