You should be able to just double click on the downloaded file to play it. The trick is finding where it is!

You can go into Windows Explorer (if you have it) and do a search (click button at the top with a magnifying glass) and then clicking on "all files and folders" (one of the links under "what do you want to search for"). Look for the file name, or search for some of the words in the song title. Be sure the option that says "Look in:" is pointing to your Local Hard Drives (C:) so it will check everywhere.

That should point you to the location of the downloaded song.

Otherwise, go download another one and pay close attention to where it puts the file, changing the location perhaps to one that you can easily find.

Good luck. Hope this helps.