Nowadays mostly the internet... I just type in a name and usually find something. The hardest way to go about finding music is to type, say, "Algeria" and "1960s." You really need to have a name of a band or a singer if you want to find music from a particular place. The stranger and more exotic place (let's say Andorra) the harder it is to find music. And sometimes it is hard to find singers from a particular country, for example, Ireland, because they might often record in another country (England) and people might not realize the band is not really British. This commonly occurs on the Decca and Pye labels. Same with many artists who were considered "French" back in the 1960s...they might have recorded in Paris, but they were really from another country, such as Morocco. I usually get my music from various blogs and Soulseek, which is a downloading portal.
Back in the days before unusual music (at least unusual in the United States), was readily available online, I would special order, usually through gemm.com for LPs and CDs. I bought at least 10 or so LPs from Hungary over a short period of time and I was probably helping to support the guy I was buying from over there. To tell you the honest truth, I've been to a record store in a foreign country only once, and it really wasn't a record store, even. It was a vintage clothing store in Talinn, Estonia, that sold some records, and I bought a Jaak Joala (a popular 70s singer in Estonia) EP. I have been to Europe three times. I normally don't buy vinyl in Europe just because it's hard to bring it back to the US. The furthest I ever bought any records from was Singapore, which was a bit of a nightmare... the guy agreed to send me 4 7-inch records of Chinese artists, but I had to send him US$100 in cash, and it took at least two or so weeks to get there from Texas. It was a great day when he finally got the dough and he told me he could hear me sigh with relief all the way in Spore. He and I are still friends today (that must've been 8 or so years ago) and he is a major figure in the history of the music business in Singapore.
Downloading music is a daily occurrence in my life. Nearly every day I download something, either on Soulseek, from Youtube, or any of the various blogs I visit. I could not live without music. Someone asked me once how come music was so important to me in my life and I really had no idea how to answer that question, and I still don't have an answer but that's fine. Music makes me happy and that's enough.