DC++ is great for individual songs you don't pay though. Its best to shop around look on all the sites there are literally tons. You can also use audacity to record music that is being streamed through your pc.
I'd go to a cd store and buy the actual CD itself. If I can remember right, I believe that iTunes gives less to the artists when you buy it from their store. So I go with the physical format, even if it is a bit more expensive. You can order those CD's off websites too ya know...