To find your files on the Hard Disc Drive, click on the Library Tab. Click on any file and then click on Explore. This will take you to the HDD where your files are Outside of LW. Now Double click on a file and it should open the file with the Default Media Player.
To disable the LW Player, go to Tools > Options > Player. Uncheck > Apply > OK.
To make WMP your Default Player. Right click a file. Choose "Open With" > Choose Program > Click on WMP > Tick the Box... Always use this Program to open this kind of file > OK.
This WMP Guide might also be benificial to you.
Windows Media Player 10 Guide: Adding Songs to Your Library and Burning CDs
Hope this Helps.