Do you want the files to be itunes files? Hopefully, you are using iTunes. It simplifies things most effectively. If you are, go to the Edit menu and select Preferences, under General, check the "Connect to internet as needed" box and click on the SET button underneath the check box. This will make all your future downloads iTunes files, which can be organized, labelled correctly, and neatly kept in one place. Also, go to the Advanced section of Preferences and click Change to change your music folder to your Shared library. That simplifies things a bit. Let me know how you make out. If you don't have itunes, let me know and I'll tell you how to do it for Quicktime.

Good Luck