For downloading the various country maps you need to install Nokia Map Loader, something quite improved since the first version but still only works if you download and install .net framework. It also happens to be windows only. Nokia Maps allows downloading maps over the air but is limited to the region you are in, it doesn’t allow you to download a particular country completely over the internet.
But now now you can get them across without having to install anything on your computer or theoritically if your phone has WiFi …