You can download with the desktop Music Manager or from the web. This will show you how to download from the web:
From your music list, click the arrow on the right side of a song (to the left of the TIME colum) and choose the save to computer option:
Google will show this message (“Songs Purchased in Android Market can be saved to your computer up to 2 times from the web, The limit dies not apply when you use the Music Manager desktop application to save files to your computer”):
