The recprd companies made Apple put DRM (Digital Rights Management) software which restricts the devices a download can play on and the number of CD you can write.
There are ways around DRM though. The easiest is to write you downloads as an audio CD and then copy them back into an iTunes folder. You can also decide at this stage to change the file format from the default mp4 to mp3 which other players can better cope with. This strips the DRM from your downloads. remember mp3 file wile be larger and of poorer quality than the mp4.