if you want to move the files to a different location after
you've downloaded, then try tera copy from codesector.http://codesector.com/
if you want to download
the files into a different folder, you might have to change the location where the files are being downloaded. in the youtube downloader, look for any setting called 'download location' and change it to your desired folder.
you cannot 'move' files to windows media player, as wmp is an application, not a folder/location. you can however, set windows media player or your preferred music player to monitor (in intervals) the folder in which you put the music files.