Downloading music from an online source is a convenient and affordable alternative to buying CDs. You can select the individual songs that you want instead of purchasing an entire CD. While you'll usually pay a small amount for each song, you can sometimes find free music -- a taste of the music to encourage you to buy the whole CD, as a limited-time offer or simply a giveaway by a noncommercial artist. Once you have downloaded the song onto your desktop computer, you can transfer it to your MP3 player or other device.