There are many ways to do this. One option is to use a 3rd-party app that downloads files from a website. Some 3rd-party apps work as both the download manager and an mp3 player.

Otherwise, you can download the file onto a computer and transfer it to your iPad or iPhone with iTunes. Find out how on apple's support page. (Note: for this option, you will need to open the file into your iTunes library on your computer before you sync it to your device.)