How to Add Files to iTunes/Music App
After you’ve downloaded the files to your computer, open up the music app. Go to File -> Import.
Then, navigate to where you put the download. Most often it’s in the Downloads folder, which you can select from the left pane of the menu. In this example, I had moved the folder to the desktop.
Highlight the folder by clicking once.
Then click “open”.
Now when you navigate to “Recently Added” you’ll see the course files have been added. Select the album by double clicking it.
Now you can play the tracks in iTunes.
For more information and options, see these directions to transfer files as well.