Well it's either your computer settings such as volume control or LW is too busy with it's main functions to play them properly. Also, you can only preview songs you've partially downlded. You can't preview songs that show up in the search results unless you have downlded a % at least.)

If you disable LW's media player then your default player will play instead (LW's menu Tools>Options>Player & untick option & press Apply button.) If you don't have a reliable player then might I suggest you instead use iTunes: http://www.apple.com/itunes/download/ (it's free) OR QCD (also free): http://www.quinnware.com/