Go into your LW library, click on Shared with the folder beside it... these are the files that other people can download from you. Tools > options > sharing & you can add extra folders to share, if you want to. The default folder for sharing is C:\Documents and Settings\your name\Shared.

WMP has nothing to do with it. Clicking on tools there won't tell you anything

For your searches, try just going for artist & song title. Sometimes, even that might be too specific! I've found that either artist & song title, or artist & album are usually enough to get you some good search results. If you're looking for really rare stuff, the All Types search is often better than Audio.