Sounds like you need to make iTunes your default player. In your LW library, click on Saved Files then Explore. When the saved folder's open, right click a file > open with > choose program. Select iTunes from the list & tick the box to always use that program to open files of this type > ok.

If you don't want to see wma files in your searches, add .wma to the keyword filter (tools > options > keywords) & click Apply.