It depends what you mean by 'download'.
If you mean download from the internet to your PC, There are many sites that offer thousands of downloads for a small fee.
Or if you like stealing things use P2P Software like Limewire.
If you mean put the files from the PC to the actual MP3 player, this all depends on the player, if it's a flash-based MP3 player with a USB connector, it should simply come up in My Computer, though you may need to install drivers, but to get the music on it, just drag and drop.
Hard drive-based MP3 players may use this method, but you might need some software, if so then this would've come with the player. Windows Media Player may support it too.
I'm an iPod & iTunes man so I've not really had to worry about all this stuff.