If you are having a lot of trouble, I recommend as a last procedure, Like what that person said earlier, Extract that song file into your osu folder,
1. Download the beatmap.
2.
http://www.winzip.com/win/en/landing/prodpagewz.html use this to extract your beatmp file, to do this, just download it (It is free) and drag your beatmap into the program once it is open. It should give you the files that are in the beatmap, once you have done that, save and transfer all the files from the program into your osu song folder.
3. From there, you should be able to play the beatmap
---
If this doesn't work, It may be the beatmap is just corrupted or it has some incomplete files, if it has a video, download it with out the video as the video might be causing the issue, furthermore if you are confused of what I have told you, feel free to ask me more questions as this problem has happend to me before but it was resolved ^_^