How do I add this music to my iTunes library.

After you download a file you will see it on your computer.  You can either open it directly from that location, choosing iTunes as your application or move the files to your music library folder and open it from there.  No matter where you open the file from iTunes will always refer to that location when it tries to play the song.  If you move the file after initially opening it, iTunes may not be able to find it.