Downloading music from newgrounds?

Well sites like newgrounds say songs are downloadable but i always mess something up. I'll go through the instructions well (well enough, i think), and the download will complete but i'll never be able to find the music or play it or put it where i want it (such as iTunes or Limewire). What am i doing wrong?

download music, video from NewGrounds, you may also try Allavsoft with this
easy guide