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It depends on what kind of file you downloaded, most are .rar files made with winrar. You need Winrar or winzip to open and extract these, after they are extracted then you can play them or move them to itunes or whatever. Also, if you download a mp3 show for example, and it has 5 parts all equal in size (this is an archived file, usually used when file is very big, so people with free accounts can dl it), then you must download all the parts first, then click on part 1 and open it with winrar/winzip then extract to a folder of your choice. Then play the file. If you double click on the .rar file it will not save to a folder it will open the file from your temp folder and play it, then it will delete it from there when you close the playing file. PM me if you are still lost.
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