does windows compress my music downloads?

I am a new as far as music downloads off the internet.  Naturally I want high quality. I have been reading about higher bit rates, DSD, FLAC etc..If I download the music onto my computer what program should I use to download it to. Windows has a music program called "Groove" but there is no disclosure about bit rates etc...it just says download your MP3 files...
What program do you use to preserve the quality?.
thanks
Matt