I played a few songs from my external hard drive. Now they are somehow downloaded to my hard drive and in iTunes?

Hello,

I have a 2013 MacBook Pro. I'm finally getting around to trying to mess around with iTunes and set up an iPod Shuffle that I just bought. I'm trying to run iTunes off an external hard drive, but that's a whole other question.

Right now, my concern is, yesterday when I was organizing some music on my external HD, I happened to play a few tracks from the hard drive. The files were somehow automatically downloaded to my laptop's hard drive and are in iTunes. I don't want this as I don't want my music on my computer, I'm trying to maintain space.

Is this some sort of new feature in iTunes? I haven't used this new iTunes at all and I am finding it very confusing/hate it. I have the most current version, 12. 3. 1. 23. I also have OS X El Capitan.

I don't want every song I play off external hard drive to automatically download to my internal hard drive. Why did this happen? I swear, all I pressed was "play," or rather double clicked to play. Is there a way to turn off this feature? Sorry to be dense.