Fragmentation is a state where your files are broken up into pieces all over your hard drive. To read a song, the drive has to search all over the place to get all the pieces to play. If the drive isn't fast enough (all drives will suffer in performance if they are fragmented), then there will be a delay while the drive is searching for the next portion, thus there is a silence, a pausing or skipping.
NOTE: Since this is a consistent behavior on your computer, I seriously doubt that all the files you have downloaded are corrupted. Other things that can cause skipping are a corrupted mp3 player, slow processor, too little RAM (32 or less may begin to show this symptom), bad sound card driers, ect. Do other songs, such as ones from napster, work ok? Or do they skip too?

If you try defragmenting and still have no success, post again and make sure to include your general system specifications. :-)

Anyone else have a skipping problem and/or a solution? Let's get this problem taken care of. :-D