As far as I know you can right-click the song & choose open with wmp. But I'd recommend moving your songs over to your Music folder (unless that's where you have your music downlds set to downld); Go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here:
Using Library Explore button to access downld folder (click on link) & the folder will open up for you. Then drag & drop or cut & paste into the Music folder. There's 2 usually. One is at C:\Music & the other at C:\Documents and Settings\"your account name"\Documents\Music. Then open WMP & choose the add option (or the search computer for media files option);
Using windows media player
I'm not sure if that's any more helpful to you.