There are different ways to do it.

You can drag n drop files from LW to WMP.

Or open windows media player and on the toolbar go to File>Add to Library>By Monitoring Folders. Find your shared folder and add it to the list. The default location for your shared folder is C:\Documents and Settings\"your account name"\Shared

Another way would be to set WMP as the default player, you'll also need to disable the LW player. In LW go to Tools>Options>Player, untick the box and click apply. Then when you play songs from in LW they will be added to WMP. See Using windows media player

Hope this helps.

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