Normally it's enough to double-click on a title, a dialog box appears asking you
to open (play) or save the file. In some cases you browser settings are such that
the mp3 track only downloads to your preferred music player and starts playing.
Most mp3 players does not have a save option (winamp has) and if they do, they
save the file as a wavefile. If this is the case, right click on the track and choose
"save target as" or something similar from the pop-up dialog box that appears.
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.