All you have to do is "Right Click" on the song in your download screen, and then select "Preview".

It should immediately begin playing the song! However, you need to wait until it has downloaded at least 25% or so of the song before this usually works. Also, make sure your sound is on, both on your Computer controls, and your actual speakers lol. Trust me, i've spent many an hour frustrated at no music, only to realize that my speakers aren't on