On windows, the downloads may initially go to the Saved Files folder, & later transfered to the Shared folder. The Shared folder is the default name for your downloads folder. But some people rename it to whatever they choose.

1. 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. Then you can drag & drop files from here. In your case your download folder may be called something else. BTW you can use this technique on any of the folders listed in your Library window to access them.

2. How to transfer music to my iPod (& iTunes) so as you can see there's more than one way to transfer music to iTunes. Then after that you can transfer to iPod. And remember, ignore the LW playlist you see in your iTunes. It can be played but not copied or burnt. Also, I recommend manual updating of your iPod.