Are you using the LW player for music? It's not very good, you'd probably be better off disabling it (tools > options > player) & making something else your default player Did you preview the songs when you were downloading them?

You'll find that a lot of games won't work, they'll need a CD or code to run. Be careful too, always scan downloaded files with your AV before opening
WARNING: Viruses on the network you should be aware of

If you do want to open programs, you'll have to do it outside of LW. Go to your LW library, click on Saved Files then Explore...your saved folder opens & you can go from there. But make sure you've scanned the file first!!