I'm sure you're trying to drag and drop the songs from LW's Library, right? Well, don't. Instead click Tools->Options and then go to saving. The path indicated there is where the files are being stored in your PC (C'mon. They HAD to be stored somewhere). So go there and drag and drop them from there (or do whatever you do to put them into the music folder)

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-