Hi DianaB and Welcome to the Gnutella Forums.
As long as your MP3 Player Isn't an iPod or a Zune, this method should work.
While in LW, click the Library Tab. Click on any file and then click on Explore (Lower left Corner).
This will open the Shared/Saved Folder thats on your HDD.
Now Plug in the MP3 Player via USB. Now click Start > My Computer. You should see that your computer has recognized the Player as a Removable HDD. Now you can Double Click the Player to open. Find the Audio Folder.
Now with Both Folders Open, Drag and Drop the Files From the Shared/Saved Folder to the Audio Folder of the MP3 Player.
Hope this Helps.