If you're using Winamp, mine has the same problem. For some reason, if there are any spaces in the file name or any of the directories it's in, Winamp will think the spaces make it separate files, and won't play it, which is a real pain in the ass. For me, with Win98 and IE Explorer 5.0, there are spaces in the Temporary Internet Files subdirectories in the Windows directory, and so Winamp gets confused.

What I do is right click on 'listen', choose 'Save Target As', and save it.