Napster, Rhapsody, and Walmart Music are just a few of the options available, each one letting you download individual songs, usually for under $.99 each. eMusic is another popular choice, though their selection is mostly limited to no-name and Indie groups.

You could also use iTunes if you really wanted to. Their music format is not compatible with the Zen Micro, but you can burn the songs to a CD using iTunes and then rip them back to your hard drive for transfer.

Hope this helps,
John