What file extension is it? Can you play other music files on Windows Media Player? Perhaps you should open the files with Media Player (File...Open...etc.)
Can you play that same file on another media player, if you have one?
I guess these questions are a bit useless...but I haven't a clue what's happening here too. Not to mention I'm in a rush right now. ;~;
If you don't have a heart for Windows Media Player and don't care about fixing the problem, you can always try some other alternatives. I use Winamp. :3