hi dolly,
We all started somewhere so dont worry about asking any question, it is a help forum and most of the gang are helpful or at least try to be..
Id love to be able to say when you click on a file and download it, it will always be in the one format but first if you can tell us where you are downloading the file from it might make it easier to explain whats happening as different sites behave differently.
If its one of the many music download sites, they should be in mp3 format already.
Can you give us the name of the file (eg. song_name.mp3) you think youve downloaded, and then let us know the actual filename as it appears when you try to play it?