An M4A file is a MPEG-4 Audio file. Think of it as Apple’s modern replacement for the older MP3 format. It uses advanced (AAC) compression to deliver:

When you purchase a song from the iTunes Store today, it downloads as an M4A file (specifically, a protected or now mostly unprotected AAC file).

You need iTunes for Windows (version 12.10.11 or later is recommended). While Apple has shifted focus to separate Apple Music, Apple TV, and Apple Devices apps, iTunes remains the official repository for managing your purchased M4A music library on Windows.

It is important to clarify what you mean by "download":

Here is the core process for downloading M4A music files directly to your hard drive.

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