If you meant that you wanted to know how download something that is not free so that you can set it as your ringtone, then there are numerous ways in which you can do that. Unfortunately, I shall not reveal how to download, nor shall I endorse it since that may be grounds for copyright infringement.
However, once you are already able to download that song, simply copy it to the Ringtones folder of your Lumia and it should appears as one of the ringtone choices.
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