Sometimes it just doesn't get added to your "Purchased" folder.
Make sure it's not in your library.
Then make sure it's not in your iTunes folder.
(Usually in your Home folder/Music/iTunes Music )
Then Check your Purchase History to make sure the purchase went through.
Seeing your iTunes Store purchase history:
http://docs.info.apple.com/article.html?artnum=93010
Then write iTunes support & let them know what happened.
The form is at the bottom of this page:
http://www.apple.com/support/itunes/store/download/