The device - as far as I know - does not have any wireless connection and thus you cannot download stuff into it directly. You need a computer to download your stuff into and then plug this device on any USB port (cable provided with the device) and copy the downloaded files into the device internal memory or in a micro SD (sold separately) inserted in it. Alternatively, some computers have an SD (has to be a micro SD though) slot which you can use to copy the files directly from the computer and then insert the micro SD into the device.
Note: the manual says the maximum capacity of the micro SD is 32 Gb, but I used a 128 Gb micro SD (although the files did not exceed 32 Gb for now) and it played the files with no hiccups or complains. Don't know what will happen if the files pass beyond the 32 Gb space though....