The music downloaded from iTunes is DRM protected as M4P, or "protected AAC". If you want to play this kind of music beyond Apple environment (iTunes, iPad, iPod, iPhone, Apple TV), you need to remove the DRM and convert it to (DRM free) MP3, WMA, WAV format or else.
The following guide is going to share with you how to remove DRM from iTunes M4P music and convert iTunes M4P to MP3. It introduces two different ways:
Part 1. Convert iTunes M4P to MP3 by burning an audio CD