Before we begin, I feel obligated to tell you that this isn't going to be as easy as it should be. The way we're going to get a song from a shared iTunes library is a technologically archaic method, akin to plugging your speaker output into your microphone input, except with nice software. This means that copying one song will take the amount of time that the song takes to play. Currently, there is no other way to do this. You used to be able to use applications like Blue Coconut and ourTunes to do this properly, actually copying the files that you wanted. But since the iTunes 7 update, none of these applications have worked, due to a new encryption scheme that iTunes uses when sharing libraries. So unless you're lucky, you're gonna have to do it the hard way.
Step 1: Downloading Audio Hijack
Whilst downloading the application, you may get a message like the one in the second picture, but just click continue.
Step 2: Using Audio Hijack
Once you've started up Audio Hijack, select "iTunes Session" and the click on the Hijack button in the toolbar. If you don't already have iTunes running, Audio Hijack will start it up for you now. Once iTunes is running click "Record" in Audio Hijack's toolbar. Audio Hijack will not begin to record until iTunes starts outputting sound, so you can take as long as you'd like actually finding the song in the shared library that you want to copy. If you see the fifth picture, I chose to copy the song "Code Monkey" off the shared library "Awesome Music".
Once you've found your song, start playing it, and just let the whole song play through. If there is more than one song in the shared library, you'll want to type the song name into the search field to ensure that there are no other songs in the list, otherwise Audio Hijack will keep on recording as iTunes plays the next song in the library.
Step 3: Go Get Some Coffee or Something
Step 4: Play Your Song
Unfortunately, you'll have to input the song title, artist, and album yourself, along with any other information you wish to include, but at least you have your song!