Speaker Module

Does anyone know how to program the Speaker Module on the cortex.

Sure, what are you trying to program it to do.

just play a song

Take a look at
http://help.robotc.net/WebHelpVEX/index.htm#Resources/topics/VEX_Cortex/ROBOTC/Sounds/playTone.htm

so like how wold i download a song to the cortex