Windows PC Users: Right-click on the link to the MP3 file, and choose the option for Saving the link (or target). It will say "Save Target As..." or "Save Link As..." or "Download Link...". On most systems, double-clicking the downloaded file will open it and begin playback.
Mac Users:Hold down the option key and click on the link to the MP3 file. It will download to the Desktop (or other folder if you set one in preferences). Double-clicking the icon will begin playback and add the track to your iTunes library.