Welcome to Android Central! Do you mean that you want to download the music and have the phone's stock Music app play it? That won't be possible if you download the music directly from the Google Play Music app. Music you download using the Play Music app is intended for use by that app only, not by other music apps. The workaround is to download the music from the Google Play Music website on your computer browser, then transfer those mp3 files to the phone's internal storage via USB connection.
If you're just asking how to download music from Google Play Music for offline listening (using the Play Music app), then open the Play Music app, swipe in from the left, tap My Library, and find the music you want to download. Tap the 3-vertical-dot button associated with the album or song, and tap Download.