Downloading Music

Not from the Apple Music subscription service. Those tracks are DRM protected and cannot be used outside of iTunes / the Music app.

If you have purchased music from the iTunes Store, or added from other sources to iTunes, right click song to bring up the context menu, and select the Show in Windows Explorer option. It will take you to the location of the file on your har drive and you can then copy it to any other folder you want.

That one appears to be a track from the Apple Music subscription service. As I said, those won’t work outside of iTunes, so you don’t get that option.