Nothing will download directly to your Zune. They all download directly to your computer.

You need to save the music to the folder that Zune monitors for music. By default that folder is My Music. To make sure this is the folder, open your Zune program and click on settings. From there you can see what folders you Zune is monitoring.

If it is the music is in the correct format your Zune program will import it automatically when you open the Zune program.

To see what