I got a new trick, just follow these simple steps (work with Internet Explorer only)

1. Play the song you wanted to download, play it FULL.
2. Open Windows Control Panel, click Internet Options, on the General tab you can see Temporary Internet Files section, click the "Settings" button.
3. In the Settings window click the "View Files" button, a new window appears. This window displays all of the Temporary Internet Files stored on the computer and their location on the local hard drive. It also displays the URL where each temporary file came from.
4. Find the file you were just playing there, copy or cut & paste to the folder of your choice.
5. Done.

You need not play each song to it's full length. On a fast internet connection a 15 minute song may buffer fully in a couple of minutes. But it's important that you wait for the 'Duration' and 'Bit Rate' details to appear before copying (or cut & paste) the file.

Have a nice try, and good luck! 

Nine-One-One, that a mean trick you've told us about... ;-)

Thanks !