Generally WMP uses either of these libraries: 1. C:\Music
____ 2. C:\Documents and Settings\Username\My Music
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. Then copy & paste or drag & drop the songs to whichever Music library your WMP normally uses.
As for your mp3 player. Depends on brand and model. With some, you simply connect via USB, then it will mount on your desktop ... check computer directory if necessary to find it. Then copy & paste or drag & drop the music files across.
Some portable players require a go-between program to transfer the songs across.