Either you've still got some parts of the trojan hiding somewhere, or it has modified some configuration.
As for previewing video files, LW uses your default media player to do so. I personally do not use this function, since LW always creates a preview file in the Incomplete folder. I preview the files I'm downloading after 5-10% directely out of the Incomplete folder. The best player so far for any media file is the free VLC player with built-in codecs, which can play almost all files without any problem.
You can try it and download it from here:
http://www.videolan.org/vlc/ 