You mean you actually use LW's .mp3 player as your regular player?
Don't: depending on your configuration, it can be extremely chopy and it sometimes takes ages from the moment that you click Launch to the moment you actually hear something coming out of those speakers.
Try another application that has Playlist functions (iTunes is great for Mac and -possibly- for PC, while Windoze Media Player -for PC- also has this function -if I remember well).
LW's .mp3 player is there only for previewing the files that are being dlded.
Besides, I think that everytime you click on that Launch button, LW creates a "snapshot" (I don't know what it's walled so I improvise, ok?) of the file at the moment you clicked so that it can play a file that doesn't constantly have additional information coming in. If you click that button many times, all you're doing is decreasing Hard Disk capacity by filling it with useless files.