I would like to know when I get a photo or a song transferred via whatsapp where is it stored on the device.
From the Windows Phone WhatsApp app, you can only send messages, pictures from the pictures hub, audio notes and videos you have taken from the WhatsApp app. There is no option to send a song (and I'm not sure if you can receive one unless its recorded using the audio note option in the app).
Having said that, to access any file (picture, audio or video) sent or received, go into the chat thread > tap the ellipsis
... > tap info > swipe the screen horizontally. All the files sent by a contact will be stored there.
For picture files, if you long press the file in whatsapp, you'll get an option to save. If used, the picture file will be saved to your pictures hub > albums > 'saved pictures' album. Audio and video files do not have an option to explicitly save them.
Actually such audio and video files are saved on phone but there is no direct way to access them. However you can use a file manager app to list them out. I am using Lumia 535 (WP-8.1,RM-1090) and I can access all my audio/video files via a file manager app namely Metro File Manager. I can access all the media which I have downloaded from Whatsapp via path Phone\Pictures\WhatsApp. It is worth to note that although the folder is located in Pictures, it will hold all types of media shared via WhatsApp.