I had the same problem and found that isn't really a exaile bug. It's much more a weakness in the management of non-native Linux partitions for ubuntu 10.04, as my NTFS partitions, which are only mounted when I access them. However, rhythmbox, which is the default ubuntu player can play songs on ntfs partitions without having to access them first. Thus, one can also say that is a deficiency in the exaile project. To summarize the solution: go to the songs' folder, thereby forcing the system to mount its partitions. Then, play the songs.
I had the same problem and found that isn't really a exaile bug. It's much more a weakness in the management of non-native Linux partitions for ubuntu 10.04, as my NTFS partitions, which are only mounted when I access them. However, rhythmbox, which is the default ubuntu player can play songs on ntfs partitions without having to access them first. Thus, one can also say that is a deficiency in the exaile project. To summarize the solution: go to the songs' folder, thereby forcing the system to mount its partitions. Then, play the songs.