Search for "peer-to-peer file sharing software" in Google.
Most of the free versions of these programs are adware / spyware so try and do some research before you install anything. There are also copyright issues with peer-to-peer networks so educate yourself.
Have you considered buying online music e.g. http://www.apple.com/itunes/download. It's not super cheap but at least you can buy single tracks as opposed to forking out for the whole album.