Which version of LW are you using? Version 4 or 5? In version 5, it now has the ability to auto add songs to iTunes as soon as they have finished downloading. LW 4 never had that ability.

If the song file refuses to go into iTunes, it could be for a few reasons. One is it is in a format that iTunes cannot import. eg: mp3pro, wma (but can convert wma for windows users), realplayer file, or ogg vorbis files, though a 3rd party plug-in is available for ogg vorbis files for iTunes.

Another reason the file will not add to iTunes is you already have it in your Library. Have a look down the list of playlists, click on Recently Added & see if it is listed.

Another reason it will not add is because it is a deliberately corrupted file that was spammed.

Another reason might be that it is one of the commonly spammed virus files that pretends to be an audio file.

Does the file play in LW's media player? What is the exact file size of the song file?
Virus thread: Typical virus spam file sizes - Make a note of them (click on blue link to see)