This app is supposed to provide the MP3 file, but there seems to be no way to actually get the file and move it into your iPhone library. You can only play it in the app. Connecting through iTunes doesnt allow you to get the MP3 file out of the app either. Better to not use the app and instead download the MP3 file on your computer, then add it to your iTunes library and sync it to your phone that way. There is no help or FAQ on their website.
Skippy11116 about Freegal Music, v2.2