What CD is it?
You should take the CD back to the store and tell them you don't wnat copy protected CDs.
Then write (not email) a letter to the band AND the label, letting them know you are dissatisfied with their decision to use copy protection on audio CDs.
Really, you should.
It's not necessarily an iTunes issue but the copy protection scheme.
Sometimes you can import into WMP and burn an unprotected copy, then reimport into iTunes.
Dave Matthews Band had a protected CD (the label did it, not them) and they provided this work around on their website.