How can I change the player that is active for the download?? I would like to preview what's being downloaded but I cant change the player being used, can someone help??

Turn off the LW player (tools > options > player).

Go to LW's library, highlight a file & click Explore...your saved folder will open. Now, within the saved folder, right click on a file > open with > choose program.
Choose the program that you want to open the file & tick the box to always use that player for files of this type > ok