Well what i do is use zamzar (type it in on Google and its the first link) and go to download videos, it will ask you to put in a URL, which is the set of words/numbers at the top of your web browser...
I have a program called blubster. there are lots more like kazaa and morpheus and grockster etc. they all download music and videos and that kind of stuff but you still have to download the program....
Just go to this place:
http://music.download.com/methylenedioxymethamphetamine/3600-8536_32-101045572.html?tag=MDL_FA_artist
and then look for the music you like and Download it( if it's available)