On a Windows / Mac computer...

1. Right-click on the download link
2. Select "save link as" or "save target as" from the context menu
3. Alternatively: Click the download button normally to open the music file in your browser. There will likely be a little menu where you can download the audio from there.

On a phone or tablet...

You can usually download an audio file directly to your device by touching and holding the download button. You should then get a menu with an option to download the audio. (Note that sometimes it can be worded like "download linked file".)