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.