Drag-and-drop is not yet available in LW (I think it is in the betas).
Go to your Home directory in the Finder.
Oh, whaddaya know. There a folder there called Shared!
Enter it.
All finished dlds are there.
Go to a .wmv file and select it (don't open it yet). Press Cmd-I (The apple key and I if you don't know that the apple key is called Command key) and go to Open with.
Once there, select Windows Media Player as the default and then click the "Change All" button.
From now on, even if you try to play them from LW, they should open in WMP.
Cheers

__________________
iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-