iTunes adds mp3 files that not in local filesystem. Spotlight cannot find those files before iTunes imports them

iTunes find two mp3 files, abc.mp3, xyz.mp3 on my laptop (those files are from SoundJay.com, at least as they claim), but there is no original files. Meaning, I can neither find them in Spotlight before iTunes finds them nor any duplicate files after iTunes imported them. I met this situation by using the Scan Media feature in iTunes.. This is totally weird because those files are not existing on my local filesystem before iTunes imports them.

I really want to know how iTunes finds those mp3 files ...