I dont know what confuses you!
You dont know how to download mp3 music from the website, or how to transfer the downloaded mp3 to your mp3 player?
For the first one, you could search music on a lot of website and choose what you like to save. For the second one, you could use the USB (Data Wire) http://www.madeinchina.com/2768109/product-6014727/photo-9013434/USB-Wire.shtml of your player to connect with the computer.
Hope it will be helpful!