When you download from Datpiff, you open the zip/rar file with all the songs and unpack them. Once the songs are unpacked, drag them to your iTunes window. That should be all you need to do. Or, you can go to File - Import or File - Add File To Library.
If you want, you can create a new playlist in iTunes and then drag the songs to the playlist window. This keeps all the new stuff you added in one spot so you can tag it altogether instead of hunting them down in iTunes.
Thanks but when I click on Open, It just opens up itunes and theres no new songs.
Not sure what you mean by that...iTunes doesn't "wathc" anything to see if new files have been added to your computer; you have to "tell" iTunes to add new files either by dropping files/folders onto its window, or use one the Add commands in the file window.
Once the DatPiff files are un-compressed, you should have a folder full of mp3 files (or whatever format DatPiff uses) -- at that point, launch iTunes (open the program), and then drag that folder onto the iTunes window (or select File menu -> Add folder...) and they should add right in; to make sure they made it, check your "Recently Added" smart playlist (if you have one) or right-click in the iTunes window column headers, add a column for "Date Added", click on the that column to sort the iTunes display by Date Added, and the new songs should appear at the top of the list. (Or, as Getmansuplex suggested, create a new playlist, click on the playlist to display its contents (empty for now) and then drag the new files onto the window.