You have to download a player of your choice. It's up to you which one...try a few & see which one you like. (I've used dbPowerAmp, iTunes & Realplayer although that one I use for streaming radio rather than general playing).

Open a song outside of LW, right click, select 'open with' & it will give you a list of choices (whatever media players you have on your comp).Choose program, select the one you want & tick 'always open with'. If this is too confusing, see this thread;
http://www.gnutellaforums.com/showth...default+player