Find your files in windows(not LW). The default location is C:\Documents and Settings\"you account Name"\Shared.
The easy way to find it is to start limewire and go to the library page, click on your shared folder and click the explore button. A window will open with your shared folder in it.
Open up the folder. Right click on one of your audio files and click on Properties > then click on "Change" > choose your default player from the list > click OK > Apply > OK.
See:
Setting Default video app