How to upload Apple Music song to iMovie?

I downloaded a protected MP4 song from Apple Music to my desktop. When I open the song, it automatically plays from Apple Music. Not a problem except I want to add it to my audio files on iMovie and can't seem to do that. I've refreshed my library to no avail. Also, my Apple Music library doesn't match the library on my iMovie Audio file list.

Help?

Thank you all in advance.