That's a default program to open the particular file issue. See Setting Default video app or Setting default audio program. What you need to do is select the file & right-click & choose open with & tick the always open with option. To access these files, go to your LW Library window, select incomplete or Saved Files folder & press the Explore button & the folder will open up for you. Sample image here: Using Library Explore button to access downld folder (click on link)