Open LW and go to Tools>Options>My Library, untick the box by "Use the LimeWire player when I play audio files", then click "OK".
*Edit, I didn't read your whole post.
You need to change your default player for audio files. Open up your files in windows, right click one one of the files and click on "Properties". You'll see where it says "Opens with" click on "Change" then choose WMP from the list.
See:
Setting default audio program