Google it up for mod_rewrite, assuming you're on apache. You'll be looking for something like ^Song\d+.mp3 and writing it to download.php?id=\\1.
As of PHP 5.5, the MySQL library has been officially deprecated. It is recommended to move to either MySQLi or PDO libraries for your mysql connectivity. See here for help choosing which interface you prefer: http://php.net/manual/en/mysqlinfo.api.choosing.php