Songs downloaded from the iTunes Store now come in "protected" AAC or M4P format, which means you can import them to your iPod just fine but if you want to play them on something else, such as the MP3 player or PSP, you can not do without converting them to MP3, which plays on practically anything.
An mp3 converter can be used to convert media files to MP3. Instructions vary depending on the version of iTunes you have, and which operating system you use, and it takes some "fiddling around" with iTunes settings. Doing this allows you to right-click on a track, select Convert to MP3, and it is done.
iTunes itself allows you to convert your files to mp3 but Unfortunately, with the latest version of iTunes, the only files you can convert must be those with "unprotected" formats, such as .wav or .wma. But those "protected" AAC or MP4 files you downloaded from the iTunes store? Nah.
Fortunately, there are other ways to convert these "protected" file. One method is to burn the desired tracks to an audio CD (make sure that you choose the audio, not data as the type of CD). Then you can open that ripping CDs in iTunes, right-click on the rail, and the Convert Selection function. If you do not want to use iTunes it does have its downsides, you can use a third-party conversion tool which is not the same as 'burn and rip' conversion, but faster and easier.