Been trying to download it and it's not even there

Where have you been looking? Do you mean the single or the album?

Try Spotify and use some software to record it on to your computer

I read somewhere that Prince is very funny about his music being online, apparently he asked You Tube to remove all of his music videos.

I had the same problem and ended up buying a secondhand CD of it on Amazon.

the album has been out of prince for a long time due to his long running dispute with warners, which is why there is a lack of his material on itunes