When you've found a song you want, click on the "Download" link next to your chosen song. At the prompt, select Save and choose where you want to save the song. If you're not presented with a prompt, try right clicking the link and choosing the option to save the link (i.e. Save Target As, Save Link As, or Download Linked File, etc.). This will let you choose where to save your song.
Note: Anytime you click on the "Download" link, even if you decide to cancel or play it, the download will count towards your weekly allotment.