Yes you can preview songs whilst they're dwnlding. LW's media player previews whatever % has already been dwnlded. If it's 1% then that's all you're going to hear; eg: a 4 min song at 1% is about 2 & half secs. 10% about 25 secs. If it's a concert then it's a bit different: say 2 hr concert at 10% dwnlded would be about 12 mins.
LW's media player is not the most reliable. If you're having difficulty with it you can choose your own. Go to LW's menu Tools-Options & Player & untick LW's player. And then press Apply & OK buttons. Now your default mp3 player will play instead. To make a default mp3 player: click onto an mp3 file, go to File & Properties & select your mp3 player of choice. QCD is a reliable player that doesn't require xtra codecs & is free:
http://www.quinnware.com/