The application downloads all music that you specify from your PC to your sdcard.
You can click on each song and download them individually.
You can choose multi select and download multiple songs/folders.
You can just choose "Sync all"
Syncing all will download all songs in the background so you will not be interrupted and can still use your device for anything else.
After all your songs are Synced and you add more songs to iTunes, you will just need to "Sync all" again and it will only download those new songs.