Yes as chscag posted, these will open in Safari, or any web browser. By the sounds of it, you didn't actually download a .mp3 file, you only saved the web page this file was on, and when you double click on it, it will by default open in your Default Web Browser.
To save the file, and IF its a downloadable file, then Ctrl+Clcik the file and then Save As. When the Save As window opens, IF the file Extension is .mp3, w/out the .webarchive, then you are fine, but if it has the .webarchive, then this file can't be downloaded from the internet.