You can not play what you don't have. You need to finish downloading the file before you can play it. However, you can preview it as you are downloading if you have downlded a % of it. eg: 10% of a 3 min song = 18 secs

If your file says zero % downloaded then you have not finished (or even started) downloading it & cannot preview it.

Here's some tips: LimeWire: Userguide