if you use iTunes (and if IIRC you use Limewire for downloading your music), iTunes will have a playlist automatically synched to your Limewire download folder (from there you can drag them over to your library if you want). iPod synchs automatically. Windows Media Player, no idea, never used it for music.
I make the Desktop the default incoming location for all my downloads and saved documents. That way it is staring me in the face until I deal with it. Otherwise things tend to get downloaded and forgotten about, eating up hard drive space. I think this is the way the Desktop was origionally meant to be used, as a workspace instead of a launchpad for applications. No need for Desktop shortcuts if your have a well organized Start Menu. My desktop is a black screen (wallpapers can slow things down) and a recycle bin. Works very well for me.