When I first started using it I freaked out about that too.

Just right click on the song in the download part and click Find More Sources. It'll do a quick search to get it started. If it doesn't start downloading try searching the song again as I do that with all my movies/music files too and it finds it again then starts up automatically.

Another thing to look out for is the numbers next to the search results. It'll have Quality [a bunch of stars] to say how good the download is, then right next to it will be some numbers. The more numbers that are there, the less likely-hood you'll get the more sources thing coming up. If that makes sense.