I think Postdog's hunch is probably correct.
The music industry didn't want anyone selling simple music files, so had them encrypted with DRM (it's really a horrible thing). Most online music stores use this (or did). Amazon mp3s contain no DRM, and iTunes Plus songs contain no DRM. Apple announced a few months ago that all their music is going DRM-free. Most of it now has a '+' sign next to it in the iTunes store.
If you have music purchased that wasn't iTunes plus, then it means it is DRM protected. This means that you can't do what you want with it, because you aren't legally allowed to.
What you can do however, is burn it to an audio CD (not a regular data CD), then re-import as mp3 or unprotected aac file, and then you can do as you wish. To do this, go into iTunes' preferences, and make sure that it's set to burn as an audio CD.