I'm often asked about this so figured its worthy of a mention ha!
Depending on your preference and computer skill,there are many ways to do this.
Here are a few ways.
1-(easiest) Find the track you want on youtube then in a new browser tab go to - http://www.video2mp3.net and follow instructions.
2-Filesharing or P2P programs such as limewire,frostwire ETC More info on p2p here
3-Torrents are good for downloading entire albums i find. Info and guides to torrents

Hope that helps