I downloaded 4 songs and when I went to the library so I could save them all of the songs I downloaded on other days were all missing and it was just blank and the 4 new ones I downloaded werent on there either. I was so frustrated I dont know how to transfer the songs to my Window's Media Player without it in my library

You don't need to save things...they're saved as they're downloaded. In LW go tools > options > saving. That shows you the location of the file where your downloads are saved. By default it's C:\Documents and Settings\your name\Shared.

Unless you've accidentally deleted files from your library, they should be around somewhere. In the menu to the left of your library, click on Saved Files...see if they show up.

Or use your computer's search to look for some of the file names...are they there?