Go to your LW library, click on Saved Files & then click Explore. Your saved folder will open up. Now right click on a song > open with. Now you can open the file with any player on the list.

If you want to make a player the default (so it's always used to play those files), right click > open with > choose program. Choose the program you want from the list & tick the box to always use this program to open files of this type > ok.
Now that player will be the default for that file type