A friend sent me a song, it is in my email, how to I send it to my window media player library??

The song your friend sent was sent as an attachment to the email. You will have to download or save the attachment separate from the email. I so not know what email client or what web based mail you are using so I am not able to give you a step by step solution. Once you have saved the song move it to your music folder. I do not use Windows so I am not familure with Windows Media Player, however double clicking the song file should open the song

I agree with CM. Simply open it in MP, then save it in a library.