That's because your default program is iTunes in Classic. You need to change it to iTunes in OSX & then all your problems will be solved.
Open your download folder, select one of the audio files. Then use command i to get information. Then change the program that opens it. And choose always open with.
The example image below shows 2 techniques. The example is video. But your case you will choose iTunes (OSX) instead for an audio file not a video file.
This example for Torrents: 