After you initially open LW, the files in your Library window will turn from red to black one by one. Once they are black, they should be usable. Don't forget to have the options for the player set as suggested here: Playlists & how to create them (click on link)
ie: Check the Continuous Play option. Also select the songs you want to play. Just pressing the play button won't play them. You must select the songs in the playlist 1st.