Be aware that iTunes will only play mp3, wav, aiff, apple lossless, aac, m4a files. It cannot play or import mp3pro (which has same file extension), ogg vorbis, wma or realplayer files. (Windows version iTunes can play wma files.)

Wrong URL .. wow that sounds odd! humm .... be sure another player can play it as well. It may be a fake-corrupt brand of file that certain groups try to spam onto the network. I wonder if a URL is within the filename & what size the files are. If less than 2 MB (2,000 KB), then I'd be suspicious. It may be a file that if used on windows would link you to a website asking you to download some player or codec ... a scam!!!

Two players to have handy for your mac osx computer: (a) Audion (click on link) which can play mp3pro & ogg vorbis files but not m4a or aac or apple lossless.
(b) VLC - (click on link) _ (choose nearest mirror site) which is a video player that can also be used as an audio stream player & thus also play normal audio files. It has support for a number of audio file formats. Abilities shown here VLC - Features

If the files cannot be played by either of those players, I'd suggest they are bad files.

When adding song files to iTunes, add them to the iTunes Library icon at the top of the playlists. If you add them to any of the playlists instead, it will not add to library but simply be referenced from the download folder from the playlist reference list.

* BTW if Audion can play the file, but iTunes can't. Then use Audion to convert it to AIFF, then import it to iTunes. You could then keep it as an aiff file or convert to apple lossless, etc. I've done that with mp3pro files, & in come cases ogg vorbis files. That's why it's handy having Audion around as a backup player.

Also check Issues you should know about iTunes & iPod - Gnutella Forums