Just rightclick the link and click Save File As.
Works fine.
As for the song, the beginning reminds me a tiny bit of Beethoven's Moonlight Sonata, but obviously a lot quicker tempo.
Not my style of song (although I do of course like Moonlight Sonata.)
Sounds like something you'd hear on an old old RPG game.
My opinions.

Maybe tonight we'll fly so far away... We'll be lost before the dawn...