I was downloading a song EDIT album & I got a message that said something about "detecting a corruption" but that I should select the recommended "yes"
answer to the question "Should download continue?"

I did. Was listening to the downloaded song on iTunes when all of a sudden there was a KPFA radio broadcast instead.
Is this due to the selection I chose to download being a shared file? I'm confoozed.

What type of audio file was it? If it was a WMA files then you should see this What you should know about WMA Files

About corrupt audio files, it can happen for a couple of reasons. One is the initial info about the file that was downlded disagrees with the file that's actually downlded (perhaps a bit or byte or more different), so LW will attempt up to 6 times to recover this data by redownlding that portion.
Two is this: T3 Spammers; mp3 Bit-Rates Versus File Sizes

Also keep in mind some people mislabel files either thru laziness, ignorance, accident, or deliberately! That's why previewing a downld can sometimes help determine if it's ok or not.

Thanks...now, how do I preview? I tried, to no avail. Sorry fer being so ignernt (