Make sure you are right clicking in Windows. I have had quite a few people try to right click within Napster. This is not possible, because Napster is written by a different software company. Napster defaults to storing its mp3s in the folder C:\Program Files\Napster\Music\ . Right click on one of the mp3s in that folder.
Another possibility is that the file may not actually be a .mp3. Some people have clicked on .ra, .rm, .wma, .asf, and others. The only supported file formats at this time are .mp3, .mp2, .mp1, .mpg, .m3u and .pls. If you aren't seeing a file extension for certain files, double click on "My Computer". Select "Folder Options" from the View menu. Click on the "View" tab. Make sure that the "Hide file extensions for known file types" checkbox is not checked, then press the OK button. You should now see the extension and chances are that it does not have a .mp3 extension.