If you ever lose a song you were downloading in iTunes - i.e. you thought it was downloaded butit wasn't (I don't mean you deleted it) try the following.
Go to iTunes -> Store (menu) -> "View My Account" -> (you'll need to sign in probably)
Then IF there are downloads still waiting for you to finish off or start, they'll be sitting right at the top of the Account Information page above your Apple ID. There should be a button called "Download now" or something just a above the "Edit account info" button.
If not, and you've paid for music that you haven't received. Contact Apple.