this message is displayed almost always after downloading a file when launched. What can I do?

I'm not sure what exactly you mean by that, but I think it might have something to do with the fact that after you download a file it changes from the Incomplete Folder to the Shared Folder, so for that reason, when you try and start that file it might be trying to get it from the incomplete directory rather than the shared one, so make sure you start a file from the shared directory after it's downloaded. Although, I know that the file still may stay in the incomplete directory, which sort of confuses me, but try that.
And btw, if you have winamp, don't use that bundled mp3 player, it sucks, it's only useful for slow computers, to change this, just go to Tools >> Options... >> Player | then unselect the "Use Limewire MP3 Player" by doing this your default player will play the music instead of that crappy integrated one.