I'm not sure of your meaning. Do you mean how to get LW to launch a multimedia file?
Go to your LW Library window & select Saved Files & select any file to the right of it. Then press the Launch button. If it's a song then LW's media player will play it. If it's a video then your default video player will open & play it. Likewise for previewing files you're downlding. But to preview the file must be some % downlded b/c you can only preview as much as you've downlded. Also everytime you preview a file it created a file with the name preview in front of it in the incomplete folder. Make sure you delete all preview files afterwards so your HDD doesn't run out of space.