to install software in debian you have an app called apt-get
i suggest you read apt-howto
which is on the debian.org website
at the top of that page are also a lot if good articles/howto's and faq's.
as for downloading mp3's:
downloading mp3's via apps like kazaa is illegal, therefore i am not sure i would be allowed to give you any help for that, and i dont think i want
to help when it concerns any illegal action.
i can point you though to sharpMusique