many files downloaded from Kazaa have viruses written into them.....and ones you are clicking on to play might actually be executables that are now infecting your computer. Steer clear of Kazaa and Limewire and Morpheus as if they are the plague, because they are just that.
Run your antivirus program often, and keep it updated every day, if you plan to stick with those types of websites.
Something else that is probably going on, if you are virus free, is that many files are actually Real Player or other file types that people have changed the extension for and they aren't really .mp3 files. If you start messing with changing the extension in order to get it to play and it's actually an executable type, you could be in trouble that way, too.
TONI
I've just downloaded a few files from Kazaa.
Some play and some dont.
Can someone please tell me why and what I can do if anything.
Thank you.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic