How do you download songs on a mp4 digital audio player?

It is easiest to use a program to do that, like Windows Media player, but if you don't have one you can go directly to the source.

If you have Windows Media Player, but can't get the mp3 Player to show up as an item. Go to My Computer, Click on Removable Disc or the name of your mp3 player (it should have a letter after it. i.e. (E:) (F:)) Then highlight the music you want to put on it and just drag it over to the Removable Disc.

If you have iTunes, go to My Documents/My Music/iTunes and it should show you the songs that you have. Just drag those over to the Mp3.