Are you using OS X or 8/9? I'm guessing pre-osx b/c you didn't mention iTunes as a player.
In your LW Preferences, go to Player (it's about 9th on the list) & make sure the LW media player is ticked. If it is, untick & tick it on again, click Apply. That should do the trick. You need to have dwnlded at least a small portion of it before you can preview it with LW's media player. Tell us if you're still having problems after trying that. (Also tell us which OS & LW version you're using.)