It's a Sticky that's at the top of this section about iTunes & iPod. Do you use iTunes or did you just want to see how to create a playlist in LW? Remember that a playlist is simply a reference file so if you later move any of the songs the playlist won't work.

Some people share their iTunes Music Library. Doing this helps to keep their music well organised into Artist>Album. iTunes shared library is the concept.

As far as organising your downld folder goes .. well there are no options at this point in time. Not unless you want to manually create folders within there for sharing or just for organising your downlds into type. But this can take some time.