Go to your LW library, click on Saved Files then click Explore (bottom left). Now your saved folder's open...right click on a file > open with > choose program > select the player you want from the list > tick the box to always use this program to open files of this type > ok.

If that doesn't work, you can change the file types that WMP associates with:
Within WMP go tools > options > file types > tick the formats that you want WMP to play > apply > ok.