Scroll left to get your search screen. Type in either the name of the artist, or the name of the song, or the name of the file. If nothing comes up, then the music is either in an App, or non-existent on your iPad.
If the song you're looking forward comes up in Search with a big orangey icon with music notes on it, then it's in your default Music App.
As indicated above, there isn't the functionality to 'download directly to your iPad' per se.