One of the shock surprises of owning a windows phone device running WP8 or WP7 is it's handling of media files like mp3s and videos. The default browser which is Internet explorer only let's you playback (stream) these media files with no option whatsoever to save them to local storage. It's a damn shame which have let two new Windows Phone converts who switched to WP8 from Blackberry. They were shocked that their capable looking smartphone wouldn't let them save files when the dated Blackberry OS5 to OS7 allowed them to do so. Get Them All by FVD from the Store.
and voila your file would be downloaded and saved on your phone.
One gripe I have with GetThemAll which is probably a limitation of the Windows Phone platform is the way files are saved, the mp3 I downloaded with the app doesn't show up in the default music player and can only be accessed by using the file manager option in the app.
Thanks to SpacyZuma for the tip