Edited by author 12-08-2003 07:07 PM
It's a little easier than that (at least with Mac iTunes). You can do File>Import, but it's easier to just drag the downloaded file into the Source area on the left - that adds the playlist.
Unfortunately Safari automatically opens downloaded M3Us with iTunes, which randomly scatters the tracks amongst your library. Something to bear in mind if you're unfortunate enough to have thought (but not quite enough) about listening to the longest playlist ever. Grr.