A file needs to be 100% downlded if you want to use the media player to Launch it. Or you can use the Preview function. The important buttons are Launch & Preview. BTW you can only preview as much as you have downlded; eg: so 5% of a 4 minute song = 12 seconds. 0% of any song = 0 seconds. No you can't preview what you havent downlded yet. As for the playlist player, see Playlists & how to create them (click on link)

BTW some people have problems using the LW media player, so instead they disable it so their default computer audio player opens to play the songs instead. To disable the player, go to LW's menu bar, Tools>Options>Player & uncheck the option box & press apply.