Loading iTunes music onto a Lexar MP3 using Windows Media Player

After I've purchased a song from iTunes, what do I do
to load it on to a Lexar MP3 player that uses Windows
Media Player? Thank you very much

Burn it as mp3 onto a CD and import it into Windows Media Player...

Tracks purchased from any legal download store carrying major-label content, including the iTunes Store, are copy-protected (with the exception of music on EMI's labels, much of which is also available in a higher-quality, nonprotected format) and so cannot be directly converted to any other format. You can, however, burn the tracks purchased from the iTunes Store out to an audio CD, at which point it will act just like any other normal audio CD.