LR photo Export saving files as a Windows Media Player file and not NEF

These were photographs? Not Videos?

You can't export to RAW files (like NEF for Nikon cameras) with the exception of DNG.

This will help you to understand the porgram better:

https://helpx.adobe.com/lightroom-classic/get-started.html

Workflow is this:

• You import your files into the Lightroom database. This tells Lightroom where to find the original NEF files and Lightroom creates some data for the effective editing, processing and exporting.
• You do your processing. This means that Lightroom stores in it's database what parameters to change how. Kind of instructions to develop the RAW files.
• You export the deveelopped RAW files into a format that other programs or devices can read. This is most commenly, but not exclusively, JPEG file fomat. Those are thge files you send to your printer or display device or on your website.

If now the files are recognized as Windows Mediaplyer files, this simply means that you associated these file types to Windows media player application. That is a Windows operation. Lightroom has no influence on that.

Let me know if you need further help.

What file format are you choosing in the Export dialog?

You would normally choose jpg if the image is going to be posted on the Internet, or if you want to send it attached to an email.