Do you know the directory to which you downloaded the file? Typically it will be C:\Program Files\LimeWire\Shared or something similar unless you changed it.

To check where your download directory is, in Limewire go to Tools-->Options-->and click Saving in the left hand pane. The location will be in the Directory: dialog box under the Save Directory section.

Once you know where it should be, close that box and check to see if it's actually there by clicking on the Library tab and the appropriate directory in the left hand window pane (again, typically the "Shared" directory). If it's not there then you may have deleted it accidentally. You can also check the "Incomplete" directory to see if it actually hasn't finished downloading.

If you can't find the Library tab, click the View menu-->Show/Hide-->Library to reveal it.

If you found the file then you can leave Limewire and use Windows Explorer to navigate to the directory in which you found it and double-click to open it in the Windows Media Player (assuming WMP is your default media player).

You can also change which media player to use by default so that clicking on the file in Limewire opens the Windows Media Player instead of Limewire's internal viewer. In Limewire go to Tools-->Options-->and click Player in the left hand pane. Uncheck the "Use Limewire MP3 player" checkbox.

Let us know if this did or didn't help and if it didn't, try letting us know some more details.