For the Windows users out there, at some point, you may have told your Windows Media to play all your audio files in Windows Media Player. You need to turn off this default preference in your Windows Media Player, or Ableton will not be able to read the files. When you download a session, the files have .mp3 or .wav at the end of the file name. Your Windows Media Player is changing the extension to .wma and then Ableton does not recognize. Go back and put .mp3 at the end of the files in your samples folder, if it's still there after you changed your Windows Media Player preferences.
I'd also recommend you go into "Set Program Access and Defaults" and choose your media player under custom to itunes. If you don't have itunes, you can download through www.apple.com.