There is a fast way if you are using
Firefox... All you have to do it go and get
this add-on.It will break down the links on a music page and you can click on the links to save them.
The other way is to download the playlist from multiply... its called "Play this playlist" and run it. Then in your windows media window, on the right hand panel, right click on the song title you want, Click [Properties] then copy the link location into your web browser window... The download will start.