If you could play with WMP, it means it is already on ur hard drive. try to find that song in "My documents/my music" folder.
If you can not find it there, maybe we could try to download it again:
1. copy that link
2. open a new IE, then copy that address to "address"
3. then there is a window pop up, click "save as"then choose ur preferred folder, then click "ok".