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I have opened this link and copied it to a cd but I can't get it to play on my cd player.
Have you installed itunes? If so, download the mp3 (or find where you saved the MP3 to last time) and then open it in itunes. Once it is in itunes you can listen to it through your computer.
If you want to create a CD, you need to put a tick next to the title you want on the CD and then press burn to CD. There are very comprehensive instructions on using itunes at the itunes website if you need further help.