It is possible you have downloaded an albumwrap (ALBW) these are usually marked as such, and some are marked as such wrongly)

Albumwrap files look like ordinary mp3s but will not play un"wrapped" in iTunes. You neeed an albumwrap extractor (Google for a free download), and, if the file is an ALBW the extractor will give an easy to follow list of the contents, and you can then do as you please with the contents, which will play in iTunes in the normal way. If it is not ALBW the extractor will tell you.

I have found some large mp3s will not play atall, and this is probably a bad file.

The problem is that you can preview a small file to see if it is OK but AFAIK you cannot preview an ALBW. you have to wait for the whole thing to D/L. I am no expert, just relating what I have found out from experience with three or four files.