To download your song to your device, you just need to press the download button situated beneath the song player on your Song Page.
Please make sure you are accessing your Song Page using a dedicated browser application (e.g. Google Chrome, Safari) before trying to download the song. Often, when you access your Song Page directly from your email, your email app will use its own web browser to open it, and these browsers occasionally have issues downloading files to a device.
If you run into any issues, please look up guidance online for how to download files to your specific device.