How to convert file format m4a from iTunes to MP3 to open in Windows Media and to load onto my MP3?

You can convert in iTunes. Select Edit > Preferences > General tab, click Import Settings. Choose MP3 Encoder in the Import Using: dropdown - I'd suggest picking Custom for the Setting: dropdown and 256kbps in the next dialog. Then select the tracks from your album, right-click and select Create MP3 Version. This will duplicate tracks in iTunes, so you'll need to be careful in copying the MP3 files to another location and deleting the MP3 versions from iTunes itself.

For future reference, though, you may want to look at purchasing music from a source that provides downloads already in mp3 format - these will work in iTunes as well as in other players without conversion. Conversion between different lossy formats such as M4A to MP3 degrades the audio quality of the result.

Windows Media Player for Windows XP can be made able to read and play M4A files and WMP in Windows 7 and later support this as standard. However this of course will not help your MP3 player device.