Here, you can see which application is used to open MP3 files on your PC. Select ‘Properties’ on the bottom of the list. To check your default player or change it, select a song from your music folder and right-click on it. This should work with any media player, but it would have to be your default music player. It may sound counter-intuitive, but it is faster to switch back and forth between WMP and your folder, directly deleting your music from the folder itself, and using WMP just to play the music. But, there is a faster way to do it without doing so.
Windows Media Player (WMP) can be used in much the same way as Groove Music by linking your music folder to it. Deleting multiple songs together in Groove Music player