Bobert...did you actually download the song? Or just get permission to do so? If you did get it, then as Leenia says, you should just be able to double click it...or, if you know where it is, Real Player will have a place in its menu to go to wherever the song is and play it.
   When I download something, my browsesr (Opera & Firefox) keep a list of recent downloads and where it put them. (This can be a 'default' location, or a particular place you chose.)

I find the most common problem folks have is not being used to locating files and keeping track of where they put them.