Open LW, go to it's Preferences, click Saving and look at the place where the files that you download are saved.
In the Finder, browse to that place (it should be named Shared) and try playing one of the files like that.
Personal suggestion: always play the files like that, using a separate, dedicated application (
Quicktime, iTunes, what have you) and let LW do what it does best.

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-