LW's media player is only designed to launch media files (pics, music, video.) So if you try to launch anything else then yes, you'll get an error message. Instead open it outside of LW. If you have LW 4.2.x then go to your LW Library window, click on Saved files, click onto one of the files to the right of it & press Explore button. This will open the folder up for you (or just go to your shared folder.) You can open it from there.
By the way this question has been ansered a thousand times already & you posted in the wrong section. Please search your answer 1st in future. http://www.gnutellaforums.com/announ...?s=&forumid=29