Most computers are supplied nowadays with CDW and/or DVD recording facilities, so downloading shouldn't be a problem.
Software to do the job is plentiful, and in most cases this is usually supplied with a new computer as a bundle package.
Actual CD's/DVD's blanks are vast and plentiful, places like BigPockets and SVP should have a price range to suit you ( much cheaper than superstores).
Remember that any type of recording may infringe a copyright, and the authorities are clamping down on illegal downloading.So be very cautious on how and what covers your downloading. There are a number of outlets that will let you download (for your own personal use) certain tracks etc, for a subscription charge.