Right click and save on disk or somethign like that will du just that, grab the file on the server and save it in your hard drive.
If it was an mp3 to begin with it will be an mp3 on your pc, if it was another audio format (wvx, wva, au, wav, etc) it will end up in your hard disk as that.
so the answer is No, you can't.
What yo ucan do however is transform them into mp3 with some player/converter program (I'll have to pass on recomandations here as it's been a while since I work on a PC)
Kazza works as an interfase between your PC and thousands of others, based on a peer to peer protocol. This means that you don't access a main server (like say ar15.com) and download from there, but that you search a database on some server/s and then that routes you to the user's PC that has the file you wanted and you download from there.
I believe Kazza is free in the freeware version (duh), meaning that you have to watch advertising while you use it and probably get rid of some spyware programs too.
When I used to use it that at work, I could find almost anything as I wasted, so I guess many users share old music.
Maybe some user here can email you the registered version so you dont have to use the freeware one (r you could pay the fee to download the pro)
Hope I made sense as I just woke up
NsB