Open a folder that has video files in it (not within LW - open a folder outside of LW). Right click on a video file > open with > choose program. Choose another player from the list > tick the box to always use that player to open that file type > ok. Do that for all video file types that you want to associate with another program.

If you have probs with any of the file types playing through a different player, you might need to change WMP's file associations.
Within WMP go tools > options > file types > untick the formats that you don't want WMP to play > apply > ok.