When you log on you need to go to the search tab.
type in the name of the artist and click the big search tab in the middle of the screen.
When you find the track you are looking for click on it then click on download.
You will then see that file being downlaoded from various locations around the world.
If its an mp3 file it would almost certainly be saved in my music if you are using XP.
Hope this helps.