Abstract: The present invention provides a novel method for selecting and receiving on demand media from the Internet and downloading the on demand media directly to a portable media player. The present invention provides a novel media catching software stored in the portable media player. When the portable media player is connected to a personal computer, the personal computer runs the catching program directly from the portable media player without having to install the program on the computer. The catching program manages the user's selection of on demand media sources on the Internet. Additionally, the catching program causes a computer providing Internet access to download on demand media directly to the portable media player without the need of an intermediate step of storing on demand media to the computer or the need for file synchronization between the computer and the player.