The downloads can be set up through Usenet and SABnzbd, or via BitTorrent. All you need to do is fill in the settings, which allow you to really fine-tune your preferences. Headphones can help you pull lossless files, the highest quality available in lossy, a combination of both, or lossy files that meet certain bit-rate requirements. It will also embed album art and lyrics after it finishes downloading.
While I don't really see any reason to download "free" music these days -- digital music is perfectly affordable and easy to obtain -- Headphones is useful even if you already own the tracks. For example, you could buy the music on iTunes, keep the songs in your Dropbox account, and use Headphones to download the local copy with all the data embedded in the files. It also provides a lossless option, as well as the ability to re-encode it into lossy formats. In fact, you don't have to download music with it at all. It's useful for recommending new tracks you might like, and it can keep you updated about new albums from your favourite artist.
Headphones is remarkably comprehensive. You can use it on any operating system so long as you have Python installed. On Windows, you just need to right-click and choose Open With -> Python. On Mac and Linux you just need to launch the Headphones.py script by typing
python /Path/To/Headphones.py (the path being where you stored it) into Terminal. It's simple to use and pretty awesome.