You can wait until after the music is finished. The file is kept for a week or so.
It is in a subdirectory of the Temporary Internet Files (I thought that it was Temporary Internet Cache but this computer I am on shows it as Temporary Internet Files) directory. The Temporary Internet Files directory may be in the Windows\Temp directory or somewhere in Documents and Settings. It will have randomly named subdirectories in it. Some computers do not show the subdirectories. Try sorting the files by size and look at the biggest ones first. The file may have a long name of letters and numbers. If you double click on the file, it should play the music. When you find the file, you can rename it and put it somewhere more convenient.
It can be quite a hunt finding the file.