Under file on the emule options menu. Tick d/l preview chunks first.

When it's d/l those bits right click the file in the transfer window, and click preview.

If they aren't d/l yet the preview option will be greyed out.

Once you click preview you need to wait for 30 secs or so.

Here is an old topic on previewing with vlc and the .part file plugin, some other ways to preview, and issues:
http://forum.dead-donkey.com/viewtopic.php?p=12677
(I just updated it a little.)

You may also find more info on this board by searching for "preview", but the best place would be the official forum:
http://forum.emule-project.net/
Be sure to register as not all forums are available unless you are logged in.