*there is software included with the MP3 player, but it is not compatible with Macs. Someone said something about drag & drop, but into what?*
If your player shows up on your Mac desktop when connected to the computer you can drag tracks from iTunes (just highlight the track or tracks in your iTunes music list, hold down the mouse key and drag the song directly to the MP3 player icon on the desktop). You also need to make sure the player supports AAC (MP4) format (you refer to it as an MP3 player, is that the only format it can play?) If you imported anything from CD into iTunes using the AAC encoder then they will need to be converted to MP3 before you can move them:
How to convert a song to a different file format format
*I know I won't be able to transfer protected music, but how can I look up which songs are protected?*
Add a "Kind" column to your iTunes list view and look for any track that says "Protected" (Right click at the top of any column in the list view and choose Kind from the menu of options