Have you tried dragging the files from your shared folder directly into the iTunes window instead of double clicking them? For mp3s that refuse to appear in iTunes you can try the iTunes Associator fix beforehand. If the mp3 won't appear in the playlist after dragging it onto itunes Associator and then into the itunes window then it is corrupted and should be trashed.

If you want to be able launch from LW:

1. Open itunes

2. Go to Edit>Preferences>Use itunes for internet music playback

3. Click 'Set'

(this won't always work as some mp3s will have the wrong file type or be corrupted)