Cannot purchase and download a song from the iTunes Store on MacBook Air

There is a song in the iTunes store that I have been trying to purchase. I've done so twice, get no errors, all messages leads me to believe the song will download but never does and no charges are made against my account.

Now, I found a grayed out entry in one of my playlists in my own library for this song. I cannot delete it, play it or move it. Note: this same entry cannot be found in the 'Songs' listing on the same Macbook.

[Re-Titled by Moderator]