There are fake files throughout the network, these will sit connecting for ages & then eternally need more sources.
Check out the threads below for info & tips (make sure to use Bitzi to check files before download).
Fake files showing up in search results
How to find music

You can only download as fast as your connection & the host(s) connection allows. What type of connection do you have (dialup, broadband etc)? Do a speed test & tell us the results. Who is your ISP?
Speedtest.net - The Global Broadband Speed Test

Try downloading a file from this site & see what speed you get.
+ MagnetMix.com +: The Source for Good Content

What player are you using? You might need codecs for the player. There's a list of codec packs here & also a link to VLC player. It's free, has codecs installed & plays most things
CODECs list for Movies/Alternate players / Video help forums/ video-mp3 fixers