Do I Have A Download Or Not?
 

Quite often I will downloan a file and it is in the SHARED folder. When I attempt to open it, I end up going right back to the LIMEWIRE screen ??

What if anything did I not do to finish the download?

You have to kill or clear the download.

And also, it may just be that the mp3 you've downloaded is trying to play in Limewire rather than you're preferred mp3 player. Find your player of choice and set is as default.