We're you using Safari to download the music? If so, then you didn't actually download the song; it went no where.
On a stock iPad, you cannot download directly from Safari (except you can use the "open in" feature for some things and save pictures). The iPad is app-centric - it does not have a central file for downloads to go to. Each app controls its own space and Safari does not allow for downloads within its own space.
The best thing you can do (if you wish to download songs to the iPad) is to find an app that has that capability built in. However, if you are not jail broken, you will still have to transfer the songs to your iTunes account if you wish to sync them back to your music account. Again, the apps control their own space; you must use iTunes as the intermediary for app storage.
Sorry, but that's how Apple destined the iPad.
Marilyn
