The tone should have been sent as a text/pix message to his phone (if it was purchased using his phone number). Once the message is received, and the sound starts to play, right soft key (options) will allow you to SAVE AS RINGTONE.
If the text was not received, to his phone or to yours, then check to see if you have text or pix messaging blocked. (A National Access block to prevent data charges will block all pix messaging as well, but that's a whole new (old) thread....)
If neither of these seems to address the problem, either call CS or go into a store, have them verify the purchase, and resend the tone while you are right there.
HTH,