To share files, see How to Share Folders (click on link). You can even type in the location of your My Music folder in the LW Share preferences section. Else use the browse button.

From memory, I think My Music folder is C:\Documents and Settings\"your account name"\My Music

Or the main Music folder from memory is at C:\Music

I use mac osx so my memory is a little vague on the windows location. I presume (am guessing) you are using My Music folder for storing most of your WMP files.