"No - not downloads, you listen to them on the PC. "

I have access to way more music than I can listen to already, so I won't try sneaking in to Spotify from the US....but.... unless they have finally figured out how to 'stream' with no residue, anything you listen to as 'streaming' IS downloaded to your computer. It may be hidden in a temp file, or renamed with some arcane code....but if you know how to dig thru your browser's cache and temp files, you can save the song.