Double-click the ".zip" file that you've downloaded to your computer (you're double-clicking the zip file to extract its contents). You'll then have a folder with the name of the artist. You can add the entire folder, or the individual music files inside of it, to your media player or media library—generally by dragging the files onto its window or icon. In most cases, your computer will have come pre-loaded with a media player, like iTunes or Windows Media Player. You can then transfer your music files to a portable media player, like the iPod.