Once you purchase a song iTunes should automatically sync and download it. Look for it in c:\users\YOURUSERNAME\My Music\iTunes\iTunes Media\Music\
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Click iTunes Store near the top of the iTunes window.
Click the Purchased link at the right of the iTunes Store homepage (below Quick Links).
In the page that appears, select a category.
iTunes shows you which of your purchases are available for download. You can view all of your past purchases, or just the ones not currently in your iTunes library. Items already in your library aren’t available for download.
If you select Music, you can view your purchases by song, artist, or album. If you’re viewing by album, click an album to see which songs on it are available for downloading.
To search for an item, type its name or a keyword in the search field, and then press the Return key to view your search results.
To download an item, click its Download button .
To download all available items, click Download All.
You can also download previously purchased music, movies, and TV shows by clicking the Download button next to an item in your iTunes library.