Oops, didn't see your post! What music player are you using? You can use the LW player (tools > options > player), highlight a song & play or make a playlist. In my opinion though, you're better off making something else your default player. In this case you'd have to disable the LW player, again within tools > options > player.
You can add songs to any music player from your saved folder. Tools > options > saving will tell you the location of your saved folder. If you go to LW's library, click on Saved Files then Explore... your saved folder will open & you can drag & drop songs to the player of your choice