If windows shows you a message that it can't open a play link, direct it to use your regular media player and to remember that choice. All song plays are m3u files which tell your media player to open a 64kbps mp3 file.
When you download a file, right click and save it to a chosen location on your machine. Song downloads are 128kbps mp3 files.
If you experience any other problems or find any broken links, please report them through the contact page.