Not really a tweak, but OK. Go to the website (e.g. www.mp3.com) where your favorite MP3 file is and start playing it in the Windows Media Player. During playing WMP will say x% downloaded. Play the entire mp3 or wait for the download indicator to reach 100%. The mp3 is now on your disk; you just need to find it...
Start Windows Search, enter search pattern "*.mp3", have it look in "c:\documents and settings\[your logon name]\local settings\temporary internet files". (Replace with -- you guessed it -- your logon name, for example "John Doe" (excluding the quotes).
In XP click "More Advanced Options" and check "System Folders", "Hidden Files and Folders" and "Subfolders". Hit the Search button and wait for your MP3s to appear. Now copy them to anywhere you want.
In Windows 2000 you need to first enable viewing of hidden files and folders. To do this, open "My Computer", Click "Tools | Folder Options", click "View", and then in section "Advanced" click "Show Hidden Files and Folders".
The above also applies to other kinds of multi-media files such as mpeg (search for *.mpg and *.mpeg).
Happy mp3-ing, y'all....