For the audio on CD, assuming it's a standard audio CD, Import it to your computer using Pro Tools' File>Import tool (Click "File" on the top menu then select "Import").
For audio on the internet, perhaps you can download it from that site or some other site, possibly for a small fee. Then use the Import function to bring it into your Pro Tools session.
There are YouTube tutorials that will walk you through the steps. Search the keywords Pro Tools, import, CD etc.