Whatever you've downloaded will go into your saved folder. Tools > options > saving will tell you the location of that folder. By default it's C:/Documents and Settings/your name/Shared. Did you go through the link that LOTR gave about setting default player? I don't know about Nero, but sometimes it can be hard to change away from WMP - you have to change the file types that the player is associated with... maybe it's the same deal with Nero??