Go to your LW library, click on Saved Files then click Explore. Now your saved folder's open...right click on a file > open with > choose program > select iTunes > tick the box to always use this program to open files of this type > ok.

If that still doesn't work, you might have to change file associations from within WMP...in WMP go tools > options > file types. Untick all the formats that you don't want WMP to play > apply > ok