Whatever is saved in the ID3 Tags of the mp3 files (or whatever file format you use) is what will show up in Windows Media and iTunes, and presumably every media player. The artist name, song name, album name, release year, genre, etc. are what's filled in. If those are empty then it'll just display the file name.
The storage on your PC will stay the same. The reason I brought up the external hard drive being on and importing stuff is because when you add a song to your library in WMP and iTunes, you're essentially just adding a record of it. So when your hard drive is off and you open up whatever media player you're using, it'll still show all your music you've imported into it. So when you delete something from your library it'll always ask you if you want to get rid of the file from your computer as well, or just get rid of it in your library and keep the file itself.
12/27 - Protest the Hero
02/05 - Machine Head