The most propable causes are that it is in the wrong format or you do not have the correct codec for the format. Some downloaded music shows the extention as being correct but this can be wrong. Try another (legal) source for downloading.
you can open limewire then save it then download it to windows media player
you record it into your songs on phone
you cant
Yes.
unlimited
I use Daniusoft Media Converter Pro.
Yes, if you download it to the computer, it can play on Media player.
Find your "shared" folder and drag and drop the song you choose into Windows Media Player.
Windows media player will put whatever songs you have in your sync list on to you mp3/iPod.
drag the songs to your itunes or windows media player
Eject your CD.
of course yes