It might be easier for you to just add songs from LW to your media player's library... that way you can play them whenever you want (ie if LW's not open) & you'll find it's a lot easier to create & save playlists!! To do this you'll need to know where your songs are saved. In LW go tools > options > saving & you'll see the location of your saved folder. This is where your downloads are stored & it's where you'll have to add from to your player. If you go to the LW library, click on Saved Files & then Explore, your saved folder opens & you can add from here.

If you want to launch the songs from within LW though, it's either the LW player or another default player. If you have the LW player disabled, something else will have to open to play music