As mentioned above, pirating their music, or renting a CD from the library are ways to not directly support said artists, but in every instance, listening to an artist in some way supports them... If not adding revenue to their record label, that will in turn pay royalties to the artist, then simply by spending your own free time actively listening to their work will create interest, word of mouth, scarcity in renting a copy of it, added interest online for the download of the album, and various other less tangible effects of "support". Frankly the best way not to support them is to not listen to them at all. Any listening is supporting to some degree.