If by device you mean a safe programme , beware of many mp3 type sites as they have all sort of pop-ups etc. one ive used where theres literally 1,000's of mp3 files with no pop-ups is www.espew,com - just search for the tunes you want and on the title, right click and click on "save file as" and it will automatically download to a folder of your choice .
If you want peer to peer software to download directly off other peoples computers "winmx" is spyware free, as are a number of other programmes, have a look under "peer to peer" on google and check any comments regarding spyware etc.