Could be a few reasons. Perhaps the song is an mp3pro format file, which iTunes does not have ability to play or import. The song could be corrupt/fake as many of those are spammed on the network unfortunately.

You can check the Recently Added playlist to check if in there. Also, to check if the file is a good file, try playing it with an alternative player such as one of these: (a) ToolPlayer, ___ (b) Switch Audio Converter (more of a converter but also a handy player), ___ (c) Audion.
These 3 audio players can play many more audio formats than iTunes can, especially the first two.