How to save music playing in Windows Media Player?

[Holly Jay]

Hi, i just downloaded a song im in love with, because its not on itunes -sad face-. Everytime i download it from a site the music comes up on windows media player and i can't find the file. i don't know how to save it when its on windows media player... because im retarded like that :[ wheres the save as button? Can you save music thats playing on windows media player? Thanks in advance :]?<3