AFAIK for windows users, the songs are now automatically transferred to iTunes IF you have that option enabled. Open iTunes, look under playlist called Recently Added, & see if your songs are listed.

melj,

To enable automatic transfer to iTunes - in LW go tools > options > downloads. Tick the box to add audio files from LW to iTunes > ok.

If you want to, you can change where your downloads are saved - in LW go tools > options > downloads. Now you can browse for the folder that your downloads used to go to & select that folder. Click ok to save the change

Edit - Looks like you might also have to change where specific categories are downloaded (sorry - we're still learning about LW 5 as well). In LW go tools > options > advanced > files. Click on the Download Folders 'configure' button... now browse for the folder that you want your downloads to go to > select > ok. Then also click ok on the larger options page.
Does that help?