If you use Firefox: Right click on the link and select "Save Link As..." (If you use Internet Explorer: Right click on the link and select "Save Target As...")
Choose a folder to save your file, such as "Music"
Open the file in your favorite player such as Windows Media Player, RealPlayer, or iTunes
To save MP3 downloads on a Mac
Either hold the "control" key + click the mouse or click and hold the mouse button down on the link until the menu pops up
Select the item from the menu that indicates it will "save" or "download" the file to the disk
Select the folder location to save your file, such as "Music"
Open the file in your favorite player such as iTunes or QuickTime