If you right click in some empty space of a web page and select "view source" you can look for a link to where exactly the song is. Searching (ctrl-f) for the "EMBED" or "BGSOUND" tags will usually take you there, as that's the html code to add media extras to a web site. The location of the music is the part in the quotes of the 'src" tag. for example:
< embed src="http://www.theinterweb.com/yourmusic.mp3">