for downloading music you have three great options IMO

1. you can do it from the web (download Astro File Manager, it has an option to allow the browser to download ANY file regardless if its supported or not)

2. Use Amazon's MP3 store thats built in

3. (my favorite) download iMusic from Market, its an awesome app that lets you basically search ANY song so you can listen to it or DOWNLOAD it!!! love it