This is usually due to the file you were trying to get being renamed, moved or deleted.
If its happening to more then one user (source) then I have a few more questions,
Is it only mp3 files, or do all files do this.
Have you gone and found new sources for the same file (not matching the ones you have now) and tried to see if the will download?
Has your WinMX crahsed lately or had any problems with a sudden shut down?
What operating system do you use?
