How do you, once you have downloaded a song, export it to a player?

It depends on what player you want to use.
It usually goes something like this:
Open your preferred player
File=>Open
Navigate to "C:\Program Files\Gnucleus\Downloads"
select file=>Open
Play

Or you could Explore to "C:\Program Files\Gnucleus\Downloads" and double click the file you want to play

If your files aren't there you will need to open Gnucleus and click Edit=>Preferences=>transfer and look under "Save Downloads To" to see what location the files are being saved to.