Some players have settings in their options which force them to become the default program. Check the Real Player option settings. I think both RP & WMP have such options in their settings which forces them to become the default player.

Also, are you sure you right-clicked the file, chose open with & clicked the Always Open with or Use to Open all same type files with box.

The icon within LW might remain the same until you restart LW. Though that doesn't happen on Mac.

I am aware that on Windows, each audio program is quite aggressive about being the default player & will ask you each time you open it.