If you wish to preview or launch thru LW then select the video file & press either the preview or launch buttons. Your default video player will then open & play the file. If you don't have a video player then try VLC:
http://www.videolan.org/vlc/ (choose nearest mirror site) To make it your default see:
Setting Default video app Of course you can also open the Shared folder & play it from there. Go to LW's Library window & select Shared or Saved Files folder & press Explore button & this will open the folder for you. Then just double-click the video file.