Draw a number of data points, n, and a correlation coefficient, r.
n=50 points, r=0.35.   n=20 points, r=0.58.   Tell whether the
correlation is significant at 0.05 or 0.01 level, explain.

It will depend on the distribution it came from...

http://www.psychstat.smsu.edu/introbook/sbk29m.htm

check that site... they have what you want i think... but i cant check
their work, i think its an asymptotic dist for the corr coef