Q: I just purchase an album in order to burn and now the album is saying purchase but its not allowing me to download to my music.

You've followed the instructions on the page that you posted from, you've gone to the Purchased tab in the iTunes Store app on your phone, and the Purchased link under Quick Links on the right-hand side of the iTunes store homepage on your computer's iTunes : Download your past purchases - Apple Support ?

If it doesn't check to see if you've hidden it from the cloud : Hide and unhide iTunes Store, App Store, or iBooks Store purchases - Apple Support