I think I might be having the same problem. I'm new to this whole downloading business (I just bought my first computer in Nov.) so I'm confused too.
My trouble is burning MP3 CDs.
I know that you can't turn iTunes downloads into MP3s because they're protected or something.
But I've been trying to burn MP3 CDs of songs that I imported from CDs for backup purposes, AND ITUNES WON'T LET ME. I get an error message that says "these files cannot be put onto an MP3 CD." I even went under "Advanced" and clicked on "Create an MP3 version" and IT STILL DIDN'T WORK.
I've asked all my techie friends and they don't know what the problem is. I was told I should do an uninstall/reinstall of iTunes. But I did some investigating on the web and am now thinking about just downloading conversion software like FreeRIP or CD-DA Extractor.
The sole purpose of those programs is to help you convert files to whatever format you choose. I'm gonna look into it some more and see what happens.