Nokia :: 5800 Does Not Store Music Downloads

I've had my 5800 for a few months now and love the phone. I downloaded a lot of music onto it when I first bought it and it has been working fine. I have recently moved house and no longer have the internet at home (and cant use it at work as we cant install things like that), and I know I should be able to download the music directly from the phone. I've tried to do this and get as far as the 'My Downloads' section showing the new track I am trying to download, but that's it the phone doesn't seem to store it.

I've tried different memory cards so I know that isn't the problem. I've tried formatting one of the meory cards and retrying it but it still doesn't work. I've tried going into the Applications then into the Memory Card (also tried the Phone itself) to see if it had maybe stored the track under something like images, but it isn't anywhere. Has anyone else had this problem? I'm not planning on getting the internet at home so I really need to be able to do this via the phone itself.