Then you choose another player to open the files. What players do you have?
If you go to your LW library, click on Saved Files then click Explore...your saved folder (where all of your downloads are saved) will open. Now right click on a song > open with > & you can choose which player you'd like to open music files.

If things play well & you want to keep that player as the default (so it will always be the one used to play music files of that type), you can tick the box to always use that player for those file types