When you buy music on iTunes, it comes to you in a protected format, usually either in MP4 or AAC format. This allows you to import them to your iPod with no problem, but if you want them on another MP3 player or Sony PSP, you cannot do it without converting the files to MP3 format.
In previous versions, iTunes used to allow you to convert to MP3 format. Unfortunately, the latest versions of iTunes only allows you to convert unprotected files (those such as WAV or WMA) to MP3 format. This means all of the songs and videos you download from the iTunes store will only work on your iPod.
Fortunately, there are alternative methods to convert those protected songs and videos. The easiest method is to burn the files you want to an audio CD (not a data CD). Then rip the CD in iTunes, right click on the individual tracks and use iTunes built-in conversion function.
If you prefer not to use iTunes, you can use third-party conversion software that does the same functions…but normally much faster and easier.
One excellent choice for this type of conversion is the Protected Music Converter from LitexMedia, Inc.
This program allows you to convert audio files from all sorts of different formats so you can play them on all of your mobile devices (iPod, cell phone, PSP, Zune, etc.).