It's easy enough to set up Windows Media Player to sync to the Desire just like any other media player.
As for downloading, I've found the Amazon MP3 app pretty good, apart from the fact that you can't specifically search by artist. Queen, for instance brings up all sorts of crap like Queen Latifah and songs that happen to have queen in the title.
It's pretty quick though, I found and downloaded a Rush album on the 5 minute stagger home from the pub a few weeks ago.
Probably would have been even quicker but it's hard to type on these small bloody screens when you're pissed.