How do you get a downloaded audio song to play. I'm pressing the play button but nothing is happening. Also, my speaker are connected properly.

lol that's one thing you should sort out.
To play back a tune, highlight it in the list & press the launch button. If it's in the dwnld pane of the search window it means it's probably only partially dwnlded (must be at least partially dwnlded in order to preview a song: eg- 1% of 4 mins = 2.4 secs; 0%=0 secs; 10%=24 secs.) If you've dwnlded it & it's in your shared library (Refresh it to show newly added/dwnlded files), then click onto the folder & the songs will list to the right of it. Now click onto the name of the song & click launch.
If you're having difficulty with LW's media player, go to LW's Tools-Optons & Player & untick the box to disable it. Now your default mp3 player will launch these files instead. If you don't have a default mp3 player, select am mp3 file in the finder & go to File-Properties & select your prefered player. Now that player will play all mp3 songs. If you'er concerned about codecs, QCD is a free player that plays all types of audio: http://www.quinnware.com/