iTunes 11 for Mac: Import songs from the Internet
You can add audio files that you find on the Internet to your iTunes library.
Some websites permit you to download the actual audio file. Other websites only allow you to download a link (the URL) to the audio file; when you play it, iTunes finds the song on the Internet and “streams” it live to your computer. Songs that are streamed have a broadcast symbol next to them in the iTunes window.
Download a song from a website into iTunes
When you find an audio file you want on a website, click the file to download it to your computer.
Open iTunes and drag the file to the iTunes window.
You can also drag the file to the iTunes icon in the Dock.