A few reasons I can think of.
The audio files you have downloaded are not really audio files, get to know these file sizes: Virus thread: Typical virus spam file sizes - Make a note of them (click on blue link to see)

Another reason is that if you are using an older version of LW, the LW listing in iTunes will not work.

If the files are not being auto-added to LW's library, perhaps you need to re-set it to do so. LW preference options -> iTunes -> Importing & make sure it's ticked. If yes, uncheck it, press apply, then tick it again.

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 drag & drop the audio files onto the Library icon at the very top of iTunes playlists.

Remember iTunes will not add these formats: mp3pro, ogg vorbis (there is a 3rd party plug-in to allow this), wma, real.