Could be that WMP has a problem with files not rendered. You can try and download the free VLC player which comes with built-in codecs.
http://www.videolan.org/vlc/
Though you'll have to open the file you want to preview directly out of the "Incomplete" folder rather than with the LW Preview function.
It is advisable to preview files already after 5-10%. Furthermore, using the "Lookup with Bitzi" function via right-click in the search results and choosing Advanced>Search>Lookup with Bitzi can also prevent a wrong download.
How to use Bitzi 