The easiest way is sync or copy it from a PC to your phone via USB. Captivate USB ports operate in many different modes. For music or audio books, it will be easiest to use MTP mode if you have a Windows Vista or Windows 7 PC . You can select your USB mode in Settings. Then you can either manually copy the files over or use Windows Media play to sync it over.
I use an app that I downloaded from the Android Market that's called "MP3 Music Download". It's probably my favorite third-party app on my phone. All I need to do is type in the song I want, play a preview of it before downloading, and then press "Download".
It's all free music, the app itself is free, and it even syncs to the stock Music Player. Best part of all, there are no cables/difficult programs to get the music. Everything is done right from the phone itself.
Thank you so much. I will give that a try. I have iTunes on my desktop but not sure if anything I loaded into it or chose to download from my library would work on the Samsung. Is there another music program you might recommend??
Yes. An app called Doubletwist should allow you to sync your music in iTunes onto your phone. At least, that's what I've been told that it does.
Initially, I was going to download Doubletwist until a user here recommend MP3 Mhsic Download. I still feel like I should give Doubletwist a try to see what it's like, but I haven't gotten around to it quite yet.