You don’t.

Technically, you cannot do anything on the internet without downloading. The mere fact that data stored on a remote server is displayed on your screen means that it was downloaded.

I can think of a few ways to do it, but not only are they far more hassle than they are worth, they are also technical enough that I doubt you could properly execute the instructions if I gave them; if you could then you would already know enough that you never would have needed to ask this question.

You can transfer your CDs onto your WMP. That’s all I can think of w/o actually downloading from the Internet. Also you can transfer MP3 files from your BlackBerry.