If you have some movies in your LW saved folder - open LW's library, highlight a movie file & click on Explore. Your saved folder will open. Now right click on a movie file > open with > choose program. Choose the program that you want to use > tick the box to always use that program > ok.

You can also associate WMP (if that's what you want to use) with the movie file types that you download. In WMP go tools > options > file types. Tick the boxes of the file types that you want WMP to play > apply > ok.

If you're ever looking for a good alternative to WMP, try VLC player. It's free & has codecs installed to play most file types. It's really reliable. This thread has a link for download: CODECs list for Movies/Audio/Alternate players / Video help forums/ video-mp3 fixers