Can only preview as much as you have downloaded. So if for example you have downloaded 10% of a 4 minute song (240 seconds), then that equates to 24 seconds. But keep in mind LW doesn't necessarily download sequentially from beginning to end but some parts might be scattered from beginning, another part in middle, one near the end so even though you downloaded 10% you might only get to listen to less of that.

Select the song in your Download window & press Preview button. Keep in mind if zero downloaded then nothing will play. And might need to be more than 5 or 10% before you can play anything.