Its very easy using firefox and the download helper plug in.
if you have an older version of windows media player, project playlist has an option to play it on the media player, go to file and select "save as" then just put it on itunes and ur ipod
I've tried this before, it says like download for itunes, yet it never does it in the right file form. I don't think its possible
the best bet is to download it directly from the site you found the music on