Msbonks, I would echo Achy's suggestion to install the Songbook plugin. It makes playing music in the game all that much more easier. You can find it here. With this simple program, you can play and sync with other players without having to bother to type in the chat window. It will also make playing multi-part files very easy.
Without songbook, you will have to open the file into note pad (if it is a multi-file) and make a note of the index numbers in the headers for each part. These will be a X: followed by a number. These will be different from transcriber to transcriber. Some will just number them X:1, X:2, X:3, etc. Us in EMS, GHMS and The Band With no Name (quite a name, eh?) have a much more rigid system in numbering them which depends on what instrument is used.
After finding the index number for the part that you want to play, type (without the brackets) /play [songfile] [Index # of the part you want to play] sync. When everyone is synced up, one of you will have to type /playstart. If the song is just a solo, all you have to do is type (again, without the brackets) /play [songfile].
As for saving the songs in the sites I just linked you, all you have to do is right-click on the file and choose "Save Link As..." and choose the music directory in your Lotro Folder in your documents folder.