If you're not a computer wizz, I suggest getting a MP3 USB player
. It's the easiest way to transfer songs from your computer to your MP3 player. I found my first MP3 USB player with 1GB on ebay for around $40 including shipping. 1GB can easily store 200-250 songs. Being a USB player, you can transfer your song files using the simple "My Computer" and then drag and drop files into your USB drive. (Some MP3 USB players require you to set up some software first, which is easy. The MP3 player should come with a CD which has all the setup you need).
As for downloading music, I use a program called "Limewire". You can easily download this program from http://www.download.com
and follow the simple downloading steps. Takes about 1-2 minutes to download the program and 1-2 minutes to download the song you want. Click on "Audio" and start searching your favourite tracks!
I've used a USB, ipod mini and ipod nano. My USB lasted me for about 1 year. Ipod mini for 1 year. Ipod nano now for 1.5 years. The ipod nano being my favourite. Small, stylish and sturdy. PM me if you need any help
Hope this helps.