When you download(ed) the tunes from Amazon, you told it where you wanted the tunes to be put. At any rate, find where they are. Then open iTunes and open File, then "Add File" or "Add Folder" (if its a complete album). Then they will be in your iTunes library. Add them the next time you sync.
It doesn't make any difference where your music files are located on your HD, so you don't need to move them if you prefer not too. I also just drag and drop music files or folder directly into iTunes so they get indexed. You can then sync the files with your mobile device.
I've bought many MP3 songs from Amazon. The Amazon download software automatically puts the songs in my iTunes library. No extra work required. If they are in the iTunes library, then they will be put on your iPod the next time you sync it.