An "emp" file contains no music, it's only a link for the eMusic Download Manager to get the mp3. After Download Manager has done it's thing, you've got mp3 files. Be sure you are clicking on the music links - not saving the target to your hard drive. If you're saving the target, don't, just left-click on the link and it will queue the mp3 up in the download manager. The download manager's preferences will tell you where the mp3's will appear.
From here