For fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here:
Using Library Explore button to access downld folder (click on link) & the folder will open up for you.
Sounds like you need codecs for wmp. Instead why not get one of these: 1.
dBpowerAMP, - 2.
WinAmp, - 3.
Quintessential (QCD), - 4.
iTunes. iTunes & winamp being the most popular & having more widespread abilities at present.