This question's been answered somewhere on the forum before. If u want iTunes on your HDD to import them, it depends which mac os you're using. In macosx, iTunes can be set as the default player (in LW prefs) & it will automatically copy all tunes dwnlded to its own library on your HDD. From there you can import them to you iPod. I presume (I've never used an iPod) that once your iPod is connected to your computer, open your iTunes on your iPod & use Add to Library (CMD+O).
If you're using OS9, iTunes will not import the tunes automatically so you will need to add them yourself to both your hdd & iPod libraries. For anything else I'd suggest u read the manual of your iPod &/or do a search of the forum of this topic.