Right-click on the link, and pick "Save Target As..." - then you will be 
asked to pick a location to save to.


If the web site is a fancy Flash thing that might not work - but playing the 
song will usually place it in your temporary internet files directory which 
you can see in Internet Explorer through this method.

Tools Menu > Internet Options ... > General Tab > Settings Button > View 
Files

Try sorting my size or date - mp3 files are probably some of the largest 
files in the directory.



Hope that helps,
Lee