Basically, once the song shows up in iTunes, you can delete the file from wherever it downloaded to your computer (probably 'downloads' but could be desktop or somewhere else). Just make sure NOT to delete from the folder called 'iTunes media' or something similar. The folder you should not be deleting anything from is located at: Music > iTunes > iTunes Media > Music (at least this is where it is on mine and should be the same on yours). Maybe you could test it out by deleting a file and seeing if it disappears in iTunes. Hope this helps.