Help!!!!! Can anyone teach me how to download songs????? Please!!!!!?

I want to download songs from websites..... I am using winamp..... I tried to download and when I save the song, it always saves as a playlist, not as an individual song..... I want to know how to save the song not as a playlist but as an individual song..... What should I click????? And how can I convert .wma to .mp3????? Please!!!!!