You are doing it from the Library window, with song files you have already downloaded. Yes those options on bottom of the Library window are for the LW audio player. Save As ... is for creating playlists. That is its only purpose.

So I guess it depends on what you are trying to do. Your Library files are files that have already been downloaded to your computer, else files you have put up for sharing from your computer. I am a little confused what you are trying to do. To directly access your audio files on your computer that you downloaded, 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. You could then move them to wherever you desire if you wish to move them at all (such as My Music folder.)