I hope you won't mind my sarcastic answer...

I guess you know peer-to-peer programs which lets you download millions of title from the net!

If you like spyware, slow pc, popups and more wonderful annoyances, just download kazaa. You will then be able to download the whole internet for free :-)

If you prefer downloading from a website, just type something like "MP3" in your search engine...

Be sure you know how to survive delicacies like Dialers, Virus, Spywares !

Legally, the disk industry, which is losing a lot of money because of internet, is very agressive against people putting some music on their website. You can even go to jail ! This is certainly not what you are looking for.

It will take at least a few more years until you can all your music directly downloaded to your PC for a reasonable price. Sorry!

PS: one last word : do NOT believe that you are anonymous when you use kazaa. You are identified by your IP and therefore by your Internet Provider!