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What operating system are you using? Windows 7? Vista?
The default location for music is C:\Users\[USERNAME]\Music but you can add music from any location to doubleTwist. If you aren't sure where a song is located, you can right-click on it and select "Show in Windows Explorer" and it will pop up an Explorer window to where the music is stored. You can then drag that folder into iTunes to add it to the iTunes music library.