Downloading songs is fine as long as you pay for them.
Woolworths is a fab site to download chart stuff from as they update it every week with the new singles and stuff, another great site is
www.mp3search.ru where the tracks are a cheap-as-chips 10 cents each.
Of course you can also MP3 your own CDs with a program like AudioGrabber and put them on your MP3 player the same way as you'd make a mix tape for a Walkman.
Talking of Walkman - they are bringing out the Bean MP3 Walkman which is gorgeous, it even comes in pink.
To be honest I don't have an MP3 player for the same reason I don't have a discman - I don't go jogging or anything that would require 'mobile' music. I have a stereo in my car that plays MP3 CDs and that does it for me.