Stop itunes from copy file to my library when I'm just trying one out

Bah, that's a crappy subject.

I must be dense, I can't figure this one out. I've had my mac about a week and I didn't have this problem with itunes for windows. When I double-click a song in a folder on my hard drive, it plays it in itunes. Good, that's fine. It also copies it to the library, I don't want that. I do song writing and when I double click a file, I just want to hear it, not have it added to my library. I thought maybe it was the 'let itunes manage my files or 'copy files to itunes library when adding...' but neither seem to stop it. Did I have the wrong combo? How can I shut this off?

Thanks!

Rick