The song folder is located inside the Ultrastar folder. Once you open that file (and not the program) on your computer, you will see a list of subfiles. One of these is Songs. Open that file (which should be empty or contain some sample tracks depending on which version you downloaded) and cut/paste the songs you downloaded in here.
I have already checked inside the Ultrastar folder, and there was no songs folder, that's why I was asking ^^; I was wondering if I should reinstall and what I should do if it still isn't there when I reinstall
Before reinstalling, I would suggest you create a folder yourself, intitled "songs". Assuming you have downloaded a wroking version of the game, it should be able to understand "songs" as the folder containing the music repertoire.
If that does not work, then the only other option I can think of would be to delete the whole package and redownload it (preferably from another link).