It's stored on your hard drive under your Itunes folder (assuming it's a PC, not sure of the file structure of a Mac) – there are 4 folders (as far as I recall) and one of them contains the actual music.
Has he lost it from the Purchased playlist or just the player? If the player, plug it in and synch it and it should do the job…if it's just lost from the Purchased playlist, it will still be on your PC, just search for the artist or song and it will be there – drag and drop it on your Purchased playlist and it will reappear.
If it's gone from the PC then it's gone…