One of two ways:
Easy way:
1)Copy all the songs you want into your "My Music" folder
2)Open Windows Media Player
3)WMP will automatically find your songs in that folder and add them to your library.
Harder way (not really hard, but useful if you don't want to move your music
1) In WMP, click the arrow below "Library"
2) Go to "Add to Library"
3) Click "Add"
4) Browse until you get to the folder that has your music in it. Click on that, then click "OK" or "Add" or whatever the confirmation button is
5) Click "OK".
6) WMP will find the new folder and add everything in it.
This is assuming you have WMP 11. If you bought a computer in the last year or two, you've got it. If you've updated WMP in that time, you've got it.