How do I hook up to the internet and purchase songs for XBOX 360 "Rock Band"?

My daughter’s friend brought his Rock Band over this weekend, and since there weren’t many good 80s tunes on there, I told them I’d buy them some tunes if they let me buy some from MY generation. There were no instructions in the box, only something that looked like a phone cord. He said he thought it had to be hooked to the cable modem, but there was no place for it. I plugged it into the back of the CPU and nothing. The Xbox Live screen kept saying it was not hooked up. ? I’m a complete newbie to the video game and downloads stuff!!!