Are you sure you are going about this the right way? Try going to this site:
http://www.adamdaley.com/wap/voice.htm
you should see a list starting with AOL: You've Got Mail. Use the thumbwheel to highlight it. If you then click the thumbwheel, the only option for saving is to Save Page. Scroll down to the menu item called Get Link and press the thumbwheel again. It will take a minute or so for the ringtone to download and it will play automatically(time varies with size) and eventually the media player will show on screen. The first button is an arrow for Play, the second button is the square for Stop. The third button is the options menu and if you highlight that button and click the thumbwheel the option is listed on the menu to save. Click on that.
I could not find instructions as detailed as what I have just given and it took me the longest time to figure out you have to highlight that third button and press the thumbwheel to get the menu and option to save it.