Hi

It would be helpful to know what machine you have and which software you have but I can make a few suggestions, assuming that we are only talking about a single file, possibly even your first download:

first Get Info on the file that will not play and ensure that it is in fact an MP3 or equivalent file;

to be playable, a file has to be owned by an application that can play it (in OSX, you should have both iTunes and Quicktime). So click on the file and then pull down the File menu. Item 4 is Open With. Nominate iTunes;

for future reference , ensure that iTunes is the default format for all your downloads;

if it still will not play, it would suggest that you have a corrupted file — it may have been a spoof file intended to deceive you, it may actually have been a virus bearing file (but that would not worry an OSX user) or something may have happened during the download. No matter what the reason, throw the file away and try downloading it again.

Good luck

David