The LW player will only play music
You'll have to choose another player for video. Go to LW's library, click on Saved Files then click Explore...your saved folder will open. Now right click on a video file > open with > choose program. You'll see a list of what players you have. If you want to make one player the default for all movies, select it from the list & tick the box to always use that program to open files of this type > ok.

If you like, you could try VLC player. It's free, has codecs installed & plays most file types.
Using VLC player (Windows)