Neel,
for download try limewire. it is a program used to share files with people all around the world.

there are a lot of sites where you can listen for free though.
kantipur fm, hits fm (respective web sites)
nepalicollections
I am sure there are more sites for nepali music.

try, grooveshark.com, pandora.com, last.fm for western music. Grooveshark and last.fm do have some nepali music like NK Bhattarai.

ps: it is illegal to distribute copyright materials with limewire.