Yes, there are a couple ways you can do it.

I did it like this: Open WMP, from the toolbar top left of page click on "File" > "Add to Library" > "By Monitoring Folders", then add your shared folder from LW.

Another way is to make your "My Music" folder the folder that LW saves your files to. Just open LW and go to Tools > Options > Saving, and browse to the location of your "My Music" folder(it's in your "My Documents" folder).

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