I have no problems downloading music and hitting either the "preview" or "lauch" button and it automatically brings up Windows Media. However, when down loading video's I can't get anything to come up. Any idea what's wrong?

You might need codecs for your WMP (try the XP codec pack in the link below). Or if you like, you could try VLC player. It has codecs installed & plays most things! There's a link for download below, take the nearest morror site
Codecs & VLC

*The only difference with VLC is that you'll have to launch by opening your saved folder outside of LW. Go to your library, click on Saved Files & explore... your saved folder opens for you! Launch from here. Same deal for previewing, except you'll have to open your Incomplete folder.