Don't download the cache info (gpx file) to your computer. On the cache page click on "send to MYGPS". You have to connect your eTrex with the usb cable to your computer ofcourse. A better way: become a premium member, set up a pocket query and download the resulting ZIP file, unzip and load the gpx file containg the caches in your PQ in Mapquest, upload the caches to your Garmin and your are done!
If your PQ contains the maximum caches your Garmin can hold, you have to delete the old caches from your eTrex before you can upload a new PQ.