You can either launch the video within LW or open your saved file (tools > options > saving, to check the location) outside of LW & view it from there. Double click on the file & it should play!

Depending on the player you're using, you might run into probs with codecs (where your player doesn't have all the info needed to play a file). If this happens, here are a lot of links to codecs (for WMP the XP codec pack is good) & also VLC player which has built in codecs & is pretty popular
Codecs & VLC

If you're using VLC with Windows, you'll have to launch outside of LW.