It means that WMP is missing some information that it needs to be able to play those file types. You'll find links to codec packs below & also a link to VLC player which has built in codecs & can play most things
Codecs & VLC
(the XP codec pack is good for WMP)

Open your saved folder (outside of LW), right click on a file > open with > choose program > choose WMP. Tick 'always use the selected program to open this kind of file' > OK.
That should make WMP your default player!