Downloading Music

Has anyone had a go at downloading music from the web, mp3’s etc?

I’d basically like to know a little about how it all works. I’d like to download a few of my fav songs and write them on to a CD.
Is this possible? What software / hardware do I need? How much is it going to cost?
Also any good websites I should visit?

I’m not usually so backward on things like this but I’ve taken no interest in the subject until now, so any info is appreciated.