Windows Media Player:

To add an individual file, playlist, or folder to your library, from the menu bar choose File → Add to Library and then either Add Folder, Add File or Playlist, or Add URL.  A window will pop up.  Enter the appropriate information and click OK.  The files will be added to the library. 

To add a file or playlist that is currently playing to your library, choose File → Add to Library and then either Add Currently Playing Item or Add Currently Playing Playlist.  The files will be added to the library. 

RealPlayer:

To view your library, click on the Music & My Library tab in the navigation bar then click My Library in the View panel on the left hand side of the media browser.  Your library will now appear.   

To add items to your library, you can do one of two things.  You may scan your computer for media files by choosing File → Scan Disk For Media… from the menu bar.  A window will appear.  After choosing which files you would like to scan and what types of files to look for, click Next and RealPlayer will scan your computer and add the files it finds to your Library.  Another way to add items to your library is by choosing File → Add Files to My Library… from the menu bar.  This option allows you to personally search your computer for the items you wish to add.