Do you wish to physically transfer the files across to your music folder, or simply have the songs appear in WMP's player? You can set WMP to have a type of 'watch' folder. See this post for an example: http://www.gnutellaforums.com/downlo...tml#post345819
So every time you open WMP it will add the new songs from that folder to its library.

To know where (which folder) your downloads are going, go to LW's menu bar, Tools -> Options -> Downloads. But it's probably similar to my example.