What is MP3?
MPEG Layer 3, known as MP3, is a digital audio format for quick-downloading files that sound almost as good as CDs. With an MP3 player, you can listen to free or very cheap music downloaded from the Web. With a ripper and an encoder, you can create your own MP3 files from CDs that you own. Then you can transfer the MP3 files into a portable player and take the music with you anywhere you go.

Download.mp3
MP3.com

You don't need to download mp3 files to be able to listen to your player, just clic on this link and listen to shoutcasts Music servers .
(You need the latest version of winamp)