If you're seeking to download things like free programs, this explains the procedure:
http://www.asp-shareware.org/users/how-to-down load.asp
(It makes reference to Windows XP but it's basically the same whatever operating system you're using).
Of course, it might help to know where you can find those free programs. To get some practice at downloading files (and to get some great free software), take a look here:
http://www.freeserifsoftware.com/
For thousands of other free programs, search here:
http://www.download.com/
(Hint: Enter your search criteria, such as 'desktop publishing'. Click 'Go'. When you get the results of your search, use the filter options to select 'Windows Vista' as the operating system and 'Free' as the licence type).
If you've heard that people download free music and video files, and you want to do the same, you'll need some 'peer to peer' software. (NB: Downloading copyrighted material, without the appropriate payment, is illegal. I don't condone it but millions of people do it and it occurs to me that it might be what you're trying to do). You have to download the software, so you'll need to master the technique explained in the link above. The most popular software is Limewire, which you can download here:
http://www.limewire.com/
Chris