I have been sent an email with an mp3, which I have downloaded on my windows phone, but now I can't find it on my phone
You haven't mentioned which Windows version you're using (8.1 or 10). If you're on 8.1 there's an app in the Store called Files. It's made by Microsoft. This app gives you a detailed view on your files sortened by type (Documents, Music, Pictures etc). Download it and you'll find your file in no time.