You also need an amazon.com or amazon.co.uk account
If you have those it is painless and easy. The little installer is only about 1MB.
I'd use it far more often if I didn't have an (irrational) aversion to MP3s.
Why the aversion to MP3s?
I dislike all lossless formats on the whole. Of course in Amazon's case I can imagine quality:size is everything.
In my experience after running a little test, the current Apple downloads (the 256Kb AAC files) sound considerably better than the Amazon MP3 files.
I think you mean lossy.
I also think AAC 256Kb is better than Amazon MP3. But sometimes Amazon has great deals, low prices than iTunes.
Then I ask myself if worth buying Amazon MP3 (low price...low quality).
Blu-ray uses uncompressed audio, and it's amazingly better