How to delete a song on my iPhone?

I just purchased this album from iTunes however I don't want all of the songs. I held my finger on the song I wanted to delete and slid it to the left and it came up with a little red delete button and I pressed it but it just comes up with that cloud symbol and still plays the song anyway! So confused I just want the song off my phone! I have iTunes up on my laptop now too but can't find how to delete it on there either.

Thank you


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