Why does my Music Zipped folder not stay in RhythmBox?

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http://askubuntu.com – Ubuntu 12.04. I have downloaded a few songs (And they are legal, before you say they were a virus.) and they came in a zipped folder. When the Archive Manger opens, I click on a song, and RhythmBox starts playing that song, and the 'Notify OSD' appears. But whenever I get rid of the Archive Manager the song stops, and the song vanishes from the playing list. I also checked the 'Missing Files' list, but when I click on the songs, all the songs come up with a 'No entry' sign next to it. How can I prevent this from happening? (HowTos)