Depending on your phone model, the ring tone download should be initiated in one of the following two ways:

If you see a highlighted link (URL/address) in the SMS message, select the link to start the download.

If the link is not highlighted, select "Save Address/URL" using the Options menu on your phone. Once you have saved the URL, click on "Go to URL" from the Options menu.

Your phone will now download the ring tone file.

Once the ring tone has been downloaded to your phone, you will be prompted to listen to or save the tone. You should also be able to set it as your phone's default ringer. If you do not see the prompt, the downloaded ring tone can be accessed via your phone's Content Manager, Downloads, Fun & Apps, My Files, Sounds, My Music, or a similarly named folder.