Open iTunes and go to the Edit menu and come down to Preferences. When it opens, click the General tab if it is not already selected. Then find the line that says "Use iTunes for Internet Music Playback" and click the Set button. What you just did makes it so that when you click on a song it will open up in iTunes.

If you just want to know how to add songs to your library go to the File menu and come down to "Add to Library" I hope this helps.