For future reference, it is helpful to indicate what machine you have and which OS you use. Then giving a clue as to how you tried to "play" the MP3s and what results you achieved would complete the picture. As it is, we have to guess.

Sometimes, the launch button does not work either from the download window or from the library window. In that case you must either go directly to your "shared" files and double click on the relevant MP3. Assuming that iTunes has been set as the default format for internet downloads, this should add the MP3 to your iTunes playlist. Alternatively, open iTunes and pull down Add to Library from the menu. Follow that dialogue and you will be able to play your downloaded files.