If WMP is your default player, disable the limewire player and when you launch a music file in LW it will open in WMP.
To do this open LW and go to Tools>Options>Player, and untick the box, and click apply.
How to set the Default video application (the principal is the same for audio and video)
You can also use WMP to find your saved folder. Open WMP and on the tool bar go to File>Add to Library>(choose an option). The default location of your folder is C:\Documents and Settings\"your account name"\Shared.