After purchasing a song or album, the files will automatically download. Albums will be in a compressed .zip file, which your operating system, whether Macintosh or Windows will be able to uncompress.
If you're on a Macintosh, your files will be in your download folder, found in your home folder.
If you're on a Windows computer, you will be prompted choose a location to save your file.
If you purchased an album, you will have to unzip the file before adding it to the media player of your choice. Simply double-click on the downloaded file and drag the folder to wherever you would like to save your file.
If you want to add your songs to iTunes, open iTunes and make sure you're on the 'Music' window.
Then drag the files that you downloaded to the window. iTunes will take care of the rest.
You should see your music in the music folder.
If you would like to add the songs to Windows Media Player, drag the downloaded files to the section of WMP highlighted in this image.
Your music will appear in the right column and you can start playing right away.