Blue Coconut is a typical Mac OS X application. Run it from the disk image, or copy it to the Applications folder (or wherever you like!) and start it there. Once it's ready, click "Get" or use the File > Copy Playing Track menu to copy the currently playing shared track to your machine.
Three new options will be available in the script menu:
Blue Coconut
This script activates the application, even if it's not already running.
Copy Playing Shared Track
As you'd expect, this copies the currently playing shared track. If there's no currently playing track, or if it's not shared, you'll see an error. Note that this adds the current track to the queue; if you're already copying tracks the current track will be downloaded later.
Copy Selected Shared Tracks
Once more, this does what you'd think: it copies the selected shared tracks to your computer, or gives you an error if there's no selection, or there's a selection of tracks that aren't shared. Again, the tracks are Queued if necessary.