These directions are for Windows. For other systems you should be able to figure it out. Just understand, that when you click on a playlist, the music files download into the internet cache. So they're in there waiting for you to drag and drop into your saved music folder. Make sure to clear your internet cache in "Tools" then "Internet Options" before you begin.
Here we go:
Click playlist to play. Windows media player opens. If you see a plus sign then click on that to expand the playlist. Click on the song you want. You'll see the colored line going across the bottom of the media player. When song is finished loading into internet cache the color goes away. Repeat in playlist till you get the songs you want loaded into the internet cache. You don't have to wait for the song to finish playing. You only have to wait till the song finishes loading into the internet cache.
Now look to the right side of your Internet Explorer. Go to "Tools" then "Internet Options". See "Browsing History" and click "Settings". Click on "View Files" to get to the "Temporary Internet Files" (Internet Cache). You'll see the music files with the MP3 icon. Drag and drop into the folder you want. Note that in the internet cache, how the file may have numbers or percent signs in the name. So you'll probably want to correct the file name in the saved folder.
If you forgot to empty the internet cache, go to "View" and "Arrange Icons By" then "Size", since MP3 files will probably be the largest files in the cache.
See. It's really quite simple.