I'm almost certain that you are allowed to create a copy of the CD for personal use. I can't find the information online, but I believe technically, it's copyright infringement, but most record companies now agree that creating personal backups to other media is not an issue they want to pursue.
Shouldn't really be a problem. I've ripped all my Michel Thomas Learn French CD's into mp3 and transferred them to my Creative Zen.
Are you just going on the premise that someone has told you that you can't? If so they're wrong. Give it a go.