It's been a while since I used OS 9 . . . . but, just drag the songs from the download folder to your iTunes icon (or Quick Time Player).

The quicktime control panel should have some options so that all files with .mp3 as an extension will be opened by Quicktime.

Here's the link for iTunes in case you need it http://docs.info.apple.com/article.html?artnum=120073

Some files, though, are named like music files, but aren't really. Neither quicktime nor itunes will play them