You can't. The reason it says you can download ringtones is because it's a service that is offered from your carrier. There are ways to get free ringtones, but you are really going to have to do some work to get them. Otherwise, you'll have to do what people don't like to do, and actually pay for them.
what you will have to do is go online from your phone to a site where you can download items for example funformobile.com once you click on download, of course nothing happens but go to your internet options go down to option 8 which should be titled "more" where it will give you a list of more options then the 6th option will say "save item" which will let you save either the song or picture.