First you need some things, namely a device which can play music (typical portable reproducers such as walkman / mp3 player, or a home setup which can play at least one of the different audios like mp3, dvd, etc, or alternatively a computer/smartphone/laptop or similar and connection to internet). For the first case, the typical devices, you search for the track you're willing to play and try to physically get it. Then you follow the instructions of the player and you got it. If you use the second method, and taking a desktop for reference although this can be applied to similar devices, you turn it on and look in a browser for sites such as youtube, soundcloud, spotifiy, etc. Once there you use their embedded search bar to find the song you want and play it.
PS: for the 2nd method you may need an external audio reproducer (headphones, earphones, etc) if your device doesn't include it or if you want better quality