Go to rhapsody.com. Once there, go to the bottom of the page and click on "Download Rhapsody Software to manage all your digital music."
Click on the "Download" button. You need a Windows operating system. Mac and Linux are not supported (as of June 2009). This will start the process for downloading the software. Besides listening to free songs and being able to purchase them, you can also listen to music on the Rhapsody channels.
Fill out the questions on the next page to set up your Rhapsody account. Then click on "Start Download." When the pop-up box appears, click on "Run," and the program will begin to download.
Accept the terms and conditions once the download is complete. Then you can add an icon to your desktop if you want. Once this is complete, the program will install. Afterward, when you click on "Finish," the program will launch, and you can begin downloading songs.