Visit YouTube.com and and type "At Last, Etta James" into the search box. Click "Search" to display the results. Click on one of the videos in the search results to listen to the song.
Visit Amazon.com and search for the song. Click on the "Preview" button to listen to a 30-second audio clip, or click on "Purchase MP3" to buy and download the MP3 file. If you aren't logged into Amazon, you'll be directed to the sign-in page. If you don't have an account, click "Register" to sign up for one. Click on the downloaded file to open it and listen to it.
Visit iTunes.com and download Apple's iTunes program. Install the program and click on "Store." Follow the on-screen prompts to create an Apple iTunes store account. Search for the song and click "Purchase" to download it. Click "Music" on the left sidebar and click on the song to play it.