Depends what type you've got, sweety. If it's an ipod then I'm the wrong person for advice.
If it's got a USB connection then it'll appear on your PC/Laptop like an external hard drive or Memory stick, so you'll be able to drag `n' drop or copy `n' paste. I have a Creative Zen Sleek 20GB mp3 player, and, although I have the software for it on CD, I can plug in the USB cable and it appears like an external hard drive.
If you mean 'download' from the Internet straight onto an MP3 player..... it is a lot easier to download it to your desktop first, then copy to the player.
i do it through window's media player. copy the music from a c.d. onto it and then copy from there on mp3 player. it will show on left hand side of screen 'copy to cd or device'. the mp3 player normally shows up as a removable disc. just select it and hit copy and it will send any song you want to the player