If you just want to listen for free and have an internet connection:

If you have Premium, tap the download arrow on the My Dear Melancholy, EP or the specific song to save it to your library.

If you want to own the file and move it between devices (like a phone, computer, or MP3 player) without an internet connection:

The Weeknd's "I Was Never There" is available through several official and legal channels. Depending on whether you want to a permanent copy or listen offline via a subscription, here is how you can get it: 1. Purchase a Permanent MP3

If you use an iPhone or Mac, you can buy the song on the iTunes Store. Note that while Apple now uses the "Music" app, individual song purchases are still available and can be exported. 2. Offline Listening (Streaming Subscriptions)

The Weeknd’s official channel has the audio and lyric videos available.