There are a few different processes, depending on how your player is set up. After you click the Download link, the song should either save itself automatically to a temporary directory, or a personal folder or directory on your hard drive. Or you might get a pop-up prompting you to "Open the file" or "Save to Disk". In this case, choose "Save to Disk". Your computer will then ask you where you would like to save the file. Choose a destination you can remember so you can find the MP3 later.