Everytime we doiwnload the music, after we shut down our pc we lose our downloaded music.............any suggestions?

I assume you are using a public pc in a university or school or internet cafe, right?

Many of these computers delete all changes after a reboot
so you get a clean computer using backup programs like GoBack
or something like this.

This prevents that someone messes up the computer.
You have to burn the songs right after you downloaded them or copy them on a harddisk which isnt being restored after reboot.