Not sure I fully understand you problem but I'll try. Go to LW's Library window & select Shared or Saved Files folder & press the Explore button. This will open the folder up for you. Then you can move the video to where you want to. Even drag & drop onto your video player. I apologise if I misunderstood your problem.

If you're having problems viewing the movie with your video player then try VLC: http://www.videolan.org/vlc/ (choose nearest mirror site)