You could try dragging the file from the LW library into your player...this may or may not work but give it a try.

Or, if you're using WMP, you could add to WMP by monitoring folders. Then, as you download from LW files will be automatically added to WMP & then you could add to your player from there...it would be pretty simple that way.
Within WMP click on Media Library, then click on the Add button, choose 'by monitoring folders'. When you get the popup box, click Add. Now browse your computer & find your saved folder (by default it's C:\Documents and Settings\your name\Shared) & click ok.
Sorry if you already knew how to do this!