The process of copying files to your MP3 player is fairly easy. Simply copy and paste them like you would any other file to your MP3 player while it's plugged in to your computer.
There are several places to download MP3 files. You can buy songs quite cheaply from iTunes, a service run by Apple. I don't have much experience with it, but it allows you to legally buy and then download individual songs (and also some television series). Alternatively, you can download them for free from various websites, but beware this is copyright infringement. Your Internet Service Provider may send you a warning or suspend their service if you do this, but it is highly likely they won't. E
There is an add-on for Firefox (and similar add-ons for other browsers) called "1-Click Youtube Video Downloader", which allows me to download any video (such as a music video) from Youtube. Then I use another program called "Total Video Converter" to convert Youtube's .flv files to .mp3 files. There's also websites and other programs to convert files to MP3. You can find entire albums (or even whole discographies) on torrent websites like The Pirate Bay, but using torrents takes some time to learn if you don't know how they work.