You can only preview as much as you have downloaded. And usually slightly less than you have downloaded because LW does not necessarily download the file's data parts sequentially. Example, you downloaded 15% of a song file. You could probably preview about 10-14% of the song. (Perhaps 20-30 seconds of a 4 minute song in that example.)

Remember, these files are on each person's computers, not hosted on a website. These files are what people like you & I share.