How to download complete albums (from online) to iTunes? Or please answer if you've downloaded any Girl Talk.?

Today I tried to download a Girl Talk album from online. When the window appeared with the choices of whether to ';open'; or ';save'; the file, I chose open. The file (mp3s) immediately opened Microsoft Word and conjured up an error message. I have Microsoft Vista, and everytime I've tried to download multiple mp3s together (such as free albums online or playlists from websites), they take about an hour to download and then proceed to open Word and make an error message.

Has anyone else had this problem? Is there some way I can change the location the file is opened in from Word to my iTunes?How to download complete albums (from online) to iTunes? Or please answer if you've downloaded any Girl Talk.?
When it says download do Save to Desktop instead of Open then you can go to your desktop and see your downloaded files right click your Mp3 and select Open With and look for Windows Media Player or any other program that plays Mp3's. If it plays then have these Mp3's in a folder now open up iTunes and go Import Files to Library or if it says Folder choose folder and select the folder thats on your desktop. It should import the music in your library. If that doesnt work find another place to download the album and see if those Mp3's will work.