How do I re-download a song I have previously downloaded on the same device?

Go to the iTunes Store, log into your account, and click the Purchases link under the Quick Links. From there you should be able to re-download some or all of your purchased content. Note that not all content has been licensed for re-downloading in all countries at this time. You can see what content you can download here:

http://support.apple.com/kb/HT5085

You can also re-download content using an iOS device.

For full instructions, see:

http://support.apple.com/kb/ht2519

Regards.

Forum Tip: Since you're new here, you've probably not discovered the Search feature available on every Communities page, but next time, it might save you time (and everyone else from having to answer the same question multiple times) if you search a couple of ways for a topic, both in the relevant forums and in the Apple Knowledge Base, before you post a question.