So have you found the website or been sent the website, if you have been sent
the website then you should have the file, which is probably midi, use a
converter to convert the file to wav or MP3 then use an app like Nero to burn
a music CD.
See if the song is not copyrighted if its not then simply view source search
for .mp3 or .wav file u will get the fill path now copy the path on to the
address bar enter download burn. remember copyrighted songs are not kept so
easily accessable to users so u can only do this for non copyright songs.