Hi, have you noticed if the files you download have .mp3 extension at the end of their names?, if is not so you just have to write .mp3 and your problem will be over. It also could be you need to set your player as the default player, so your downloads will open automatically with that program. You can also change the file mapping on your internet settings, in your control panel, you select all .mp3 extensions and change the applications that open them.

Hope it works for you.