Downloading copyrighted material without the artist's permission is a violation of copyright laws. Pirate Bay has been sued and its owners jailed. Using Pirate Bay to download pirated material can get you into a world of trouble.
But if you must know, you go to Pirate Bay using your browser. You find the item you want to obtain. You download the "torrent" file, which is kind of like a "pointer" to the file others are sharing. You then launch your bittorrent program and open the torrent file. The rest is magic.
