What's happening when you try to download? If the song's not even moving into the download pane, it might be a license problem
License

If songs are going into the download pane but sitting 'connecting' forever, you're probably trying to download fake files. Search again. Vary your search terms - look for artist name or album. Try the All Types search. Stay away from files with huge numbers of sources, I go for a file with 10 sources or less.