That's right, you set the default from outside of LW. You may need to restart LW for it to take effect. For setting audio default, this example shows how to do it for winamp: http://www.gnutellaforums.com/attach...4&d=1127372927
So use the explore button to open up your shared folder; 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.

For this to work with wmp, you'll need to disable LW's media player. Go to LW's menu bar, Tools->Options->Player & uncheck option. As suggested, you may need to restart LW for this to take effect.