Having clicked on the Library tab, you will now be in the library section of Windows Media Player (WMP). Here you will see playlist options in the left pane as well as categories such as artist, album, songs etc.
To start adding music and other media types to your library, click on the small down-arrow icon which is situated underneath the library tab at the top of the screen.
A drop-down menu will appear giving you various options. Click on Add to Library and make sure your media type is set to music as in the example screen shot.
