Mobile Devices
This music file will probably download to your phone's file manager app, not to a music player. For example:

iPhone: Files App > Downloads
Android Phones: My Files App, File Manager App > Downloads
OR, Any Device: SEARCH the name of the song on your device.

Once you locate the file, tap on it to play the song. 

Add to iTunes?
Download the file to your desktop or laptop computer and load it into iTunes on your computer and then sync the music with your iPhone.


Desktop/Laptop Computer
Once you click "DOWNLOAD", you will likely be prompted to select a location for the file. Otherwise, navigate to your DOWNLOADS folder (or do a search on your computer for the name of the song).

Double-click the file, or load it into a music player (such as iTunes).