Once you have downloaded the music, you will need to unzip the download file to access the music files, these are all in mp3 format.

Your ability to play the mp3 files will depend upon the device & operating system that you are using.

Note on Apple devices
Due to the way Apple iOS manages music, you cannot directly download & play downloaded music files on iPhone or iPad devices.  

You will need to import the mp3 music files into your iTunes library and then sync to your device:-

Importing music into iTunes with a Mac
Importing music into iTunes on Windows
Sync your iPhone, iPad or iPod with iTunes