A window will open showing you the possible locations on your computer where you can save the file. Save your songs to the "My Music" folder in Windows -- they'll be easier to find. Wait for the file to download. Play your new song by opening the "My Music" folder and double-clicking on the file. Your default media player launches and the song. Search and download from millions of songs and albums. All songs are in the MP3 format and can be played on any computer, laptop, phone or MP3 Player. Live concert albums of your favorite band. Learn how to download music to your computer or laptop. mp3. EMD offers a premium experience that includes unlimited access to CD quality music.