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Windows media player
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For more on marking an answer as the "Best Answer", please visit our FAQ.To get music/video from the net you have a number of options: click a download link or right-click and "save as", both of which allow you to save the file to a location oof your choosing on your drive, and usually allow you to rename the file; you can also use download managers for larger files or use P2P, though the latter route is usually illegal for copyrighted files; you can also use paid-for download sites. Windows Media Player will then play most types of file without a problem.
If you mean "how to I save a file that has automatically opened in WMP?", that's a little trickier. You can try right-clicking the file, but this may not always work. There are often ways around it, though if the copyright holder isn't expressly making the file available to download the legality of doing so is dubious.