Basically, when you buy music from iTunes, it comes with a copyright protection called DRM. These DRM-protected songs are locked so that they only work with Apple MP3 players. That means that if you bought a Microsoft Zune, you cannot use iTunes music.

So, what is the solution? You have to burn a CD. When you do this, the DRM is removed (because the music is converted to a non-DRM-compatible media). After you burn the CD, you can rip it to your PC as an MP3 file which no longer has DRM.

Alternatively, you can use TuneClone (http://www.tuneclone.com/index.php).

TuneClone makes a virtual CD-ROM drive, tricking your PC into believing that you are burning a CD. Therefore, the DRM is removed without wasting a CD.

Here is a link to a tutorial using TuneClone and iTunes 8:
http://itunesm4ptomp3.wordpress.com/2008/09/16/convert-itunes8-music-to-mp3/