A file that was successfully downloaded will not launch. I am using Mac 9.2

Launch is sometimes a little temperamental. There are two potential solutions: the slow route is to open your Shared folder and either double click the MP3 file or drag it to the iTunes window (this assumes that iTunes is the default format for your internet downloads); the more efficient route is to pull down the Add to Library command in iTunes and follow the dialogue to open the MP3 file in iTunes.