Are you using the LW player? It's pretty awful. Disable it (tools > options > player) & make something else your default player...see if that helps.
Do you preview songs while they're downloading? It's a good idea, to check whether the file sounds ok.
Also, go for files with a decent bitrate (128 is the absolute minimum, I'd go for 192 or better) as the files with low bitrates will be lousy quality.