You're downloading it as an MP3, and it's still an MP3 after it's stored on your HDD - despite Windows Explorer identifying it as MPEG or Winamp Media File, etc. The filetype is the filetype, regardless of how Win Exp identifies it. Win Exp simply displays the file type depending on the application associated with the file, not on the file's actual type. For example, take a WAV file named audio.wav. Rename it to audio.doc. Win Exp will identify it as an MS Word Document, even though it's actually an audio file.
To see the file extension (.mp3, .wav, etc.) and easily identify the file type despite how Win Exp identifies the file, turn on file extensions (again in Win Exp: Tools | Folder Options | View | untick the Hide extension for known file types box. The filename extension should still be *.mp3.