When you download a file, you need to set iTunes Music folder (Users > username > Music > iTunes) as the download directory. Otherwise you need to add the files to iTunes using Add File to Library option.
If you're using Safari, go to Preferences, click the General tab and select Other from Save Downloaded Files drop-down list. Navigate to iTunes, select the Music folder and click OK.
If you're a Mozilla Firefox user, go to Options click the General tab and change the Save files to directory to iTunes Music folder.
In Chrome, type chrome://settings/ in the address bar, click Show advanced settings, scroll down to Downloads and change the default location to iTunes Music folder.
Note: You need to know that all the files (videos, installers, images) that you download will be saved in the iTunes directory. For this reason, I suggest you that every time you download a song to save it manually to iTunes Music folder. Check the Apple forum for further information.