If you're seeing a 'download' option in Hc's email, you must be using a web-based mail system. That means that, so far, the music file has only got as far as your email provider's server. To get it to your computer you need to click on the 'Download' link. When a box opens, asking you where to save it, click the little arrow to the right of the 'Save In' field and then click on 'Desktop', followed by 'Save'.
The music file should then appear on your desktop; you can then try my instructions to drag it into an empty CD window.