If you want to download a mp3 from the web you can use iCabMobile ($1.99), a Safari alternative that allows you download any type of file (also has real tabs and a bunch of other features that Safari doesn't have). You could then transfer the downloaded mp3 to a music playback app. The iPod app doesn't allow you to import mp3's from other apps (since it only plays from your synced iTunes library), but you could use another music capable app like Goodreader ($.99) (yeah, I know, sounds weird that Goodreader can playback music... it can even playback videos).