The downloads you already have saved on your PC will be in a folder, possibly 'My Music' unless youhave called it something else. Open that and minimise. Then plug in your mp3 player by the usb cable and go to My computer. Open the Drive (you might need to click on J, K, L and so on to find the correct one). Once you have, a new window will open. Now all you need to do is Cut and Copy the music files from the My Music file to the empty drive.
You can't easily download straight to your MP3 player, it's best to save the tunes in a file and just copy them over.... Hope this makes sense.