If the file you downloaded is an MP3, then you can put it into the iTunes library without a problem.
In iTunes, on a Mac, go to File/Add to Library and navigate to where you downloaded the MP3 file to. Select it and you're done.
Were you getting some form of error message when you tried to add it to iTunes?
What happens when you double clicked the downloaded file.
I downloaded a couple of clips from my school website, and was hoping to put them on my iPod, but - even though they're not illegally downloaded, the school intends for people to listen to them - being in mp3 format, iTunes refuses to take them. Is there something I'm missing? I'm using a Mac, but if someone has windows instructions, that would be helpful as well! Thanks!