Most probably, what you downloaded was not an MP3. Some files on the Gnet are fake shares, or shared despite they were corrupted (virus, system failure/hang, filesystem corruption...)

However you should know that Windows Media Player's MP3 codec doesnot support all valid MP3 formats. Notably, it will fail with some MP3 files containing some ID3v2 metadata tags. Also, it will fail with some combinations of encoding rate/quality, audio channels count, or if the MP3 contains some other MPEG elements like a small video or a JPEG image...
The support of MP3's in Windows Player is very limited.