I am not sure how to set up limewire to download automatically to Windows media player to put the music on a mp3 player. If there is a easier way let me know.

You could try having WMP monitor LW's saved folder. Check out this thread for more info.
Windows Media Player 10 Guide: Adding Songs to Your Library and Burning CDs

I am trying to download but when I try to play, I get msg that says ... Windows Media Player cannot play the file. The Player might not support the file type or might not support the codec that was used to compress the file.

Welcome willie8868,

I don't know of CODEC probs with audio files in WMP. So my guess is you're trouble is with videos. To use WMP for newer videos, you'll need to download and install a new CODEC pack (I use download.com). Or, you can install another player, such as VLC, that has all CODECs installed.

If you're having a problem with bogus files, you can save yourself time and trouble by using the Bitzi link to obtain file info before downloading.

Great info here: http://www.gnutellaforums.com/downlo...ad-issues.html and here: http://www.gnutellaforums.com/tips-t...p3-fixers.html

hope all is well

Alas, all is not well. But things will get better after you read this:
Gnutella Forums - Announcements in Forum : Getting Started Using LimeWire