You should be able to download the music to your computer, like in a folder on your desktop (preferably), then drag the file(s) from the folder into iTunes while it's open, then you can convert the music file into AAC format. A different way would be to copy and paste the file(s) into Music > iTunes > Automatically Add to iTunes and you should be set. But you'd still need to convert to AAC. It compresses it to a smaller (supposed to) file size so you can put more songs on the iPod.
Sent from my 3rd reincarnation of the ever-so-lovable Droid