Welcome to Android Central! If you download music directly from the Google Play Music app, it's saved in a hidden directory under a coded filename, because it's only for offline use by the Play Music app. In order to manipulate the files, you have to download from your Google Play Music library website on your computer browser. Then copy the mp3 file over to the phone's Ringtones directory via USB connection. See this article for more info:
Android 101: Adding your own custom sounds to Android events | Android Central
That Carphone Warehouse guy ... I have no words for that.
