Yes a good answer from Basharat Sial.
It is too bad RhythmBox still cannot open downloaded
.pls files by just clicking them. It was reported as a bug on 2006-10-04 (LP bug #62430), and still nobody had this fixed. Anyway if you want RhythmBox to run a specific
.pls file you can open your terminal and run this:
rhythmbox-client --play-uri=[PATH HERE]
This solution was given under the discussion of the bug, but it is a long discussion and it can be difficult to spot it. It does not solve the bug, but it is a way to get around it. I know this info here is for the coding-oriented user, but now you know.