You can't play a track before download but you can preview it. Wait til it's downloaded maybe 20%, then click 'preview'. This way, you get to see if the sound's ok & if it's the track you're looking for.

The LW player's not the best (will give you pops & skips sometimes), you can always disable it & use another player. To disable tools > options > player, untick 'use LW player' & apply.

How long it takes to download will depend on things like your speed, connection to the host, size of the file etc