If your tunes downloaded from Freegal are showing up in iTunes, but when you click on them to play, you get a message that iTunes could not find the file, you may need to change a setting in iTunes to save the files in the iTunes library.
There is a setting in iTunes that allows you to automatically put files in to the iTunes folder when you download them. If you do not do this, they will stay in the Temp folder that is the default location for downloaded files. Then, if you delete files in the temp folder the tune titles will still show up in iTunes, but not play, and you will get that message saying iTunes cannot locate the file.
In order ensure that the files will stay iTunes after the initial download from Freegal, open iTunes, under Edit, select Preferences and click the "Advanced" tab on the preferences menu. Make sure that the box that says "Copy files to iTunes Media folder when adding to library" is checked, and then click OK.
Here is a video on changing this setting