m3u is a playlist document file. m3u does not contain any audio material but is a simple document that points an audio player to where to find the audio song file.

Sounds like a problem with the way you are downloading the file. I hope you are not using the Save As option. If you go to your download folder, I'm sure you will find they are mp3's inside there. For fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you.