Can I copy a playlist bought from Itunes store. So far can not see "burn" as choice under File per info

Question

Bought a compilation CD, 2.3 hours----323MB, and want to make a copy to play in my stereo.  (It has not AUX input so connecting the laptop is not an option)
First time I've done this so put in CD-R and got message to mark the playlist and then choose File--Burn list to CD.
Did so, but no choice offered under File heading like burn.
What's up?  What's wrong.  What to do?
PS Have just installed Itunes 10.5, which doe NOT have an accessible Help file on line, as many have reported.

Answer 1

The store sell songs in protected AAC format, that is ALL they sell. The protection prevents a direct format change. What you can do is burn your purchase to an audio CD, that audio CD can be used in the same manner that you can use any CD you would purchase at your local store.
Any major download site is required to have protection on their files by the major record companies to slow down the chance of illegal file sharing. Napster, the store for the Zune player, all of them will have protection that puts strict limits on what you can/can't do with your purchases. Hope this helps.