well i have a vista so this is how i do it.
1.go to
http://playlist.com/ and find the song you want or another place that has it
2. open up sound manager and open sound recorder
3. press 'start' sound recorder, and than play the music, keeping in mind when the song ends
4. right as it ends, click 'stop' and save it, name it with the Song name, artist and album for info..
Extra Info:
if you have Itunes, click 'file' than 'import' find the song under the folder u put it in(usualy documents) import it, click 'yes' to converting the .wma(what i have) into Itunes acceptable file and BAM u done lol, if you put the album artist and song in the title, just edit and fill in artist album ect
+rep pl0x?
NOTE: idk if you can do this, but technically your not downloading illegal music so....tell me if im wrong LOL ive done this a few times for a song i couldnt buy on Itunes(didnt have it, Blow me away by Breaking Benjamin) which was a LOOOOOOOOOOONNNGGGG time ago and nothins happened