Go to LW's library. Click on Saved Files then click Explore. Your saved folder will open. Right click a music file > open with > choose program. Select iTunes from the list & tick the box to always use the selected program to open files of this type > ok.

If things still open with WMP, open WMP > tools > options > file types. Untick the file extensions that you don't want WMP to play. Apply > ok.

That should do it