Go to LW's library, highlight a file & click Explore...your saved folder will open. Now, within the saved folder, right click on a file > open with > choose program. Choose WMP from the list > tick the box to always use WMP to open files of this type > ok.
Now files should open with WMP.

If you want files to go directly to WMP, you'll need to use WMP to monitor your saved folder. In LW tools > options > saving shows you the location of your saved folder
Have a look at Dano's guide here for how to have WMP monitor folders.
http://www.gnutellaforums.com/tips-t...rning-cds.html