We do need to know the Bearshare version. When it is running, look up on the title bar (located above the "File, Edit, View, etc" options). There you will see it says "Bearshare xxx.x.x" (the x's will be numbers).

There are a number of reasons why downloads might not play:

1 - Incomplete download. Most of them won't work.
2 - A file format your player can't play. The most common of these is M4a, which is the iTunes format. If you make sure what you download is an MP3, most anything will play it (not sure if iTunes will, though). If you are using iTunes and an iPod, I believe there is conversion software available to go from MP3 to M4a, so they will play on your iPod.
3 - The file you downloaded might not even be a song - might be a video of the same name. Again, verify the file extension.

FYI, Bearshare and Limewire are the same type of file-sharing software. If someone is going to sue you for downloading and sharing songs (unlikely, but nevertheless possible), they'll sue you whether you're using either program.

There are "legal" routes (as defined by the music industry) to getting tunes. They are places like Amazon, iTunes, and even Wal-Mart online. And yes, all of them will charge you, usually about a buck a song.

Cheers

Nick