It would help if you were more specific. If you just want low quality clips then go to a major music retailer such as Amazon or Barnes&Noble. The clips can be streamed with realplayer. If you mean whole tracks or CDs then you are moving into murkier areas. There is some free music available, mostly from small unheard of bands. If you want something more popular then there are some pay per download sites, mostly using Microsofts media player.
However there is a lot of pirated music available, mostly in the mp3 format. The most popular way is called peer to peer sharing using specially designed software such as WinMX, Kazaa etc. You can also find music on dodgy websites together with more porn popups than anyone could ever want to see plus malicious java scripts and so on.
Lastly there are a number of newsgroups that you can download from using say Outlook Express.