This program was recently removed from App Store, apparently due to fear of the copyright holders of the music. But if your phone is jailbreak, then you can install it from the ipa file. So, Any Music Downloader is an application thanks to which downloading music from the Internet to iPhone is no longer a problem. With Any Music Downloader, you can download songs available on the network using only your phone. The program supports multitasking in iOS 4.x, so the download continues even when switching to other applications. The utility also uploads tracks to multiple streams and restores interrupted downloads. Any Music Downloader works on all major music websites and supports transferring music to computer via iTunes. 
Install from AppStore
