It's not possible to do it because Spotify is a streaming service, not downloading service (like iTunes or Bandcamp would be).
Spotify allows downloading playlists and all that, but the downloaded content is intended for use inside the Spotify app and you can listen to them when there's no Internet connection. Read more about offline listening here. 🙂
Hope that helps!
SebastyRock Star 17
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You need to remove DRM protection from Spotify. Of course, this is actually not a good thing. There are now many converters that can download and remove DRM at the same time. You can download Spotify to MP3 player using a tool like iMusic.