Download iTunes from Apple. Open up iTunes. On the top horizontal menu bar, scroll over "Store" and select "Create Account." Follow the instructions to complete your iTunes account. On the vertical main menu bar, click "iTunes Store" and then click "Music" to go to the music page. Scroll down the "Music" menu to browse through categories or search for the song you want with the upper right search bar. Click "Buy" next to the song you would like to buy and it will begin downloading to your iTunes list. Once it has downloaded you can listen to it onto your computer or add it to your mp3 player.
Download Microsoft's Zune software. Create a Zune account by selecting "Sign Up" and following the instructions to create your account. Open up the Zune software on your computer. Click on the Zune Marketplace option from the main menu. In the search bar, search for a song you would like to buy. When the song pulls up, click the "Buy" option next to the song and it will download to your Zune account, where you can listen to it on your computer or load it onto your mp3 player.
Create an account with Amazon by selecting "Start Here" in the "to sign in" menu and following the instructions. Visit Amazon's mp3 section and launch Amazon's Cloud Player. This is a free player that can store all of your music and does not need to be downloaded. In Amazon's mp3 section, use the search bar to search for a song you would like to buy. Select "Buy" and choose to have it saved directly to your Amazon Cloud Drive. The song will download to your Cloud Drive, and then you can listen to it on your computer or load it onto an mp3 player.