You must not use the sound element option, because then the music will only play. You need to use the Link to a file or Link to an URL options.

To download the file, the user will need to right-click on the text element containing the link to your music file and choose Save target as....

The first method, Link to a file, is adapted when you have a small amount of such files. When updating your Web site, the associated MP3 will be transfered at the same time as the rest of the site. This manipulaiton can become very heavy if you have many files. In this case, the following method is likely to pose less problems.

Upload your MP3 files seperately in a subdirectory of your choice using an FTP software. Be sure to write down each of your file's URLs (for example: http://www.host.com/user/mymusic/song1.mp3).

For each song title, create a text object that links to the music file and write the following HTML code inside:
<A HREF="http://www.host.com/user/mumusic/song1.mp3">Song title</A>