I have yet to test this, but you can apparantly do it in Windows Media Player.
If you open Media Player, then add the required song to
Now Playing (your playlist) then you can:
1. Click File>Save as
2. When you are prompted to enter a
name, type and location, name it, then, for the File Type, simply select mp3 from the drop-down list. (E.G, for "I can't help falling in Love with you" by Elvis, you might name it "lovesong.mp3"). Remember to enter a location.
Let me know if you run into problems and I'll check it out.