Hmm that's interesting problem. It could be due to a no. of things.
1. See (a) T3 Spammers; mp3 Bit-Rates Versus File Sizes & also (b) Most Popular Songs R' Corrupt

2. See Setting Default video app but instead apply this to your audio files & wmp.

3. There's been complaints about WMP 10 not being able to play files. It's probably due to not having the correct CODECs. Go to M$ & downld codecs for wmp 10. Also get 3ivx so you can play m4a files. Some people have reverted back to the previous version of WMP as a result of these problems. lol

4. Remember that wmp is a reference player. If you add items to wmp's playlist but then later move or delete the songs then the playlist won't work. I'd recommend after downlding the songs, you move them to a music folder & add them to wmp from there. Using windows media player

5. Get an alternative player such as (a) dBpowerAMP, (b) WinAmp, (c) QCD, (d) iTunes