see: when i press the "play" botton it start to download, but i want is to listen the song in the moment, and don't have to download it... what can i do??? ( i have and 512kps connection, don't know if it has to do)

Are you sure you're clicking on the right button?

http://forum.bandamp.com/Audio_Review/757.html

Do you see the Flash Player on the left hand side that says "Click on an item to start"?

I'm thinking you must be clicking on the Download button... (the down arrow)