For Audio shows, over at thenewguns.com we have about 10-12 shows available in mp3. Just register, and then check the section "Members Only Tour Archives"
Find the download you are looking for and in the thread, right click the link and select "Save As" Then use a program called WinRAR or WinZIP to decompress the files and you'll have a complete show ready to listen to.
If you are interested in lossless recordings, let me know, i'll try to explain that as well.
Don't worry! everyone has to be new at some point, the people at htgth are wonderful, and we will all help you out