To download the song, follow the links as usual.
Once you reach the song player, or the last link if you don't have QuickTime or whatever, go to the top of your Internet browser and hit File > Save Page As...
Save it to your Desktop or wherever you wish.
That's how I did it.
Edit: These are instructions in Firefox. The basics should always be the same. "File > Save Page" or "File > Save Page As..."
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