Try restarting LW.

Or find your saved folder... tools > options > transfers. If you've chosen to save all downloads to one folder, you'll see the location. If you've chosen to save different categories to different folders, click on the 'configure' button & you'll see folder locations.

Once you've found out where your downloads are saved to, navigate to that folder & see whether the file plays ok & seems complete. If so, you can play/move the file outside of LW.