When you click on 'Download it should then come up with a default folder that it wants to put them in, you can change that to your 'Music' or 'My Music' folder where all your Media Player tunes are stored by using the list of folders at the side (depends if you're using Vista or XP as to how exactly they appear) your music folder will very likely be on your 'C' drive. Then just keep clicking 'Yes' or 'Save' until the file begins to download.
All three pieces are amazing,

I think I might have to get the sheet music for all of them.