Once you’ve saved an MP3 to your computer, you can click on the file to open your computer’s default audio player (for a list of audio players, click here). It will then be available in that application’s library in perpituity.
If you want to import many MP3s at once, open your audio player and navigate the menu to the import option. Then, navigate your file explorer to where the MP3s are saved (probably in your ‘Downloads’ folder) highlight all the shows you wish to import and click ‘Open’.