Step 1 - right-click with you mouse the link ("Download iTunes File Now!")
 
Step 2 - select the "Save Target As" (Internet Explorer) or "Save Link As" (Mozilla Firefox) option from the menu that appears.
 
Step 3 - save the file to your iTunes music folder (Typically in My Documents\My Music\iTunes\iTunes Music)
 
Step 4 - Open iTunes

Step 5 - select the "File" Menu, then "Add File to Library" and find the file where you saved it and click the "Open" button

Step 6 - select the "File" Menu, then "New Playlist", the playlist will appear on the left hand side of the program. Give the playlist a name.  

Step 7 - drag (left-click and hold) the Proud Canadian Soldier song that appears in your Library to your newly created playlist.
 
Step 8 - click on the playlist, then select the Burn Disk option (appears on the top right side of iTunes) and follow the instructions.