Saxophones, trumpets and clarinets are transposing instruments.
Their notes do not match the pitches of the same notes on Concert key instruments like the piano, guitar, flute or violin.

• The note C played for example on a trumpet, a clarinet, a tenor sax or a soprano sax sounds like a Bb on the piano. These instruments are therefore called Bb instruments.

• The note C played on a alto sax or a baritone sax on the other hand sounds like an Eb on the piano. These instruments are therefore called Eb instruments.

If you play the trumpet or sax just by yourself you can also use the Concert keys notation for a song (C for Triad Blues) by using the play-a-long track that matches the pitch of your instrument.
For example :

Here is a Transposition Table with which you can transpose notes, chords and key signatures quickly from one instrument to another.