What player are you using? I'm guessing WMP right? My "guess" is that the WMA files you have so far downloaded were designated with licensing features which may prevent them being shared. So why would they be such? Either purchased from an online site or else, someone has mistakenly had license requirement turned on in their WMP options when they were extracting & converting the songs. Otherwise it might be related to version of WMP. Else, these files are not being shared by normal users but by special organisations trying to curb people's enthusiasm for sharing copyright music on the gnutella network. ie: they are deliberately corrupt.

Personally I don't recommend seeking wma files; What you should know about WMA/WMV Files because you don't know what type of spyware is included, etc.