In RR Config make sure you have the correct path to your music and playlists (THIS IS 2 DIFFERENT PATH BOXES)
1st= Music Path: C:\Documents and Settings\Lee\My Documents\My Music\
2nd=Playlist Path: C:\Documents and Settings\Lee\My Documents\My Music\
Q? What codec are you trying to play? There is a box in RR config to specify audio formats(MAKE SURE THIS BOX IS EMPTY IN ORDER TO PLAY ALL SUPPORTED FORMATS)
And finally and i hope this isn't it....Do you have WINAMP installed???
If the answer is yes,have you set the path in RR Config to C:\Program Files\Winamp?
1 of the above should sort your problem but if not we'll look a little deeper.
Oh and....Welcome to RoadRunner