I believe Windows Media Player has an option to set it as your default player. That may fix it.
You can delete files through LimeWire. Go to "Library" and click on the incomplete folder. You can click on a file and delete it. Be careful not to do this with the Shared Folders. If you delete any of those in LimeWire, it deletes it from your Hard Drive. No going to the trash first. Just gone!
Hope this helps.