LW's player is horrible & I'd suggest making something else your default player

But if you really want to use LW's player...

If you're using LW 4: tools > options > player > tick 'use LimeWire media player' > Apply > ok.

If you're using LW 5: tools > options > my files > tick 'use LW player when I play audio files' > ok.

If neither of those works then try deleting LW's preferences folder when LW's properly closed. See point 3 here & also point 2 if you've used older versions of LW in the past (there could be a folder in either location).
Fixes for LimeWire
This will change all of your settings within options, you'll have to go back through afterwards & reset things. If you're not sure of your settings, go through LW's tools > options & write them all down, so that you can reset things later.
In case you're using Vista: LimeWire Pref Folder in Vista