Afaik, LW keeps a history of the searches you've made while your using it, but once you shut it down that history is cleared. I don't know of a way to get it back. Maybe someone else will have a suggestion.

Have you tried searching for the file extension. If it's an mp3, try searching for .mp3, there'll probably be a lot of them but you should be able to find it. To search go from your Desktop > Start > Search > All Files and Folders >.mp3.

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