Are both of you using the LW player? It's really horrible, try disabling it (tools > options > player) & making something else your default player.

If the problem persists, check that you're downloading files with a decent bitrate (at least 128, preferably higher). Also try downloading another version of the file...some people reconvert their files to the shithouse so that they end up sounding awful, despite showing a great bitrate.

Otherwise, tell us what sort of files you're downloading (format, bitrate etc) & what players you've tried using. Have you previewed the files & do they sound ok during preview?