types of downloading

so sometimes you go on a mail order vinyl shop, and they have mp3 previews of the tune that you want. So you click on it, and it downloads to your computer, you play it, and then it dissapears. Now what I want to know is if there is any whay to keep hold of such mp3s after you have played them. I say this with reference to a tune called Alieneye Foundacafe, new oldskool tune. Does anyone have an mp3 of this? If so tell me where you can get it, cos then I wouldn't have to do any of the above.