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Why I Ditched Spotify, and How I Set Up My Own Music Stack
(leshicodes.github.io)
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Start out simple and stick with a basic BitTorrent client. Figure out where you want to download from and get a torrent client configured. I use an ISP that frowns upon piracy so here's a quick overview:
If/when you want to try Lidarr, you'll be much better off knowing the basics of BitTorrent because *arr software is confusing in its own regard. Lidarr is just a tool to organize your music library folders and also automatically queue downloads. It is not a requirement to enjoy downloading music.
Usenet and soulseek are other alternatives.
VPNs are only needed in some countries (e.g. France). They're not needed in every country (i.e. Italy doesn't give a fuck about piracy, unless it's football matches).