LW can only load one Playlist at a time. It can save them, & reopen them or others.

But once a song from a playlist has been moved or deleted, then the playlist probably won't open. Thus, if you're missing songs from a playlist, you can delete the playlist & recreate it. Or if you are able to open the playlist with missing songs, then you can make appropriate adjustments & resave it.

I'd recommend moving your music to a music folder before creating a playlist from it. That way you're less likely to delete it (one would hope.)
You can share your music folder. So then it appears in your LW Library. A playlist created by LW can be played by any other player that can open m3u playlists. To move your songs from your LW downld folder to your music folder, 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 cut & paste or drag & drop to your music folder. There's a music folder at C:\Music (I think that's right.) & there will also be one in your user account folder. C:\Documents and Settings\"your account name"\?Music (I think.)