You need to open the folder with your songs outside of LW. An easy way to do that is to go to the library page in LW, hi-lite the audio folder then click the explore button (below the library folders window).
Then right click on one of your files > then click on "Properties" > then where it says "opens with" click on "Change". A box will open, click on the media player you want to use then click OK. Then click apply then OK. That should change the files back what they had been.
See:
Setting default audio program (click on link)