Can I transfer my itunes to a MP3 player?  newbie, help please

Hi, I need your help. I have a HP Media Center PC with all bells and whistles. I just learned about itunes. I downloaded a free song. I have also gotten 5 songs for free from a website called Connect (run by Sony).
what I was expecting to do was to go to Radio shack and purchase an MP3 player for $59.99. It's about all I can afford.
then I found out that the songs I downloaded from Connect cannot be transferred to an mp3 player unless it is a Sony MP3 player. The mp3 player in Radio Shack was not a Sony. but I did ask the salesman if I could do itunes with this and he said "sure". but I'm not sure now. I have read about all kinds of formats with downloading these songs. such as OPENMG format and something called ATRAC. See where I'm getting confused?
What I need to know is this: If I purchase songs from itunes and it goes on my hard drive, can I then purchase the mp3 player and transfer the songs so I can go for a walk and play my mp3 player. I can't afford an ipod.
Do I have to buy a special mp3 player to be able to use itunes. I can't find any information on this on the site.
I am a disabled person and could use some help.
thanks to anybody who can help me. Just need to know exactly what I should be buying to play songs on and do I have to download the songs in a special way or does itunes just do it for me. Also, I don't have an apple computer. but I have an APPLE user ID. Very confusing.
Melody

Okay, let me see if I have this right.
I have a HP Pavillion Media Center. this should allow me to burn cds, right? I have never done this in my life but believe me I learn fast. I have two drives that I'm looking at right now on my tower.
The top drive says LightScribe DVD+-/CD Writer
The other drive says CD rom.
I presume, to burn a cd (or whatever it's called), I use the top Lightscribe thing, right?
so I guess I have to get a blank cd rewritable thing, place it in the top drive and copy the sonic stage (sony) songs onto that right? then I can get the ipod and transfer from the newly burned cd into the ipod, right?
I have absolutely no idea how to accomplish this but I'm willing to at least do the first step and burn the cd.
Now, here's my question. Many years ago, when I had my other HP pavillion,it came with a re-writable drive. I tried to burn something to it and I did not know what I was doing. I do remember that the cd was some kind of RW thing.
I probably have one of those in my house. They are over 5 years old. Is this what I have to use to put the songs on it.
do I have to go to the computer store and buy a new blank cd-rw (if that is indeed what I will be using).
I want to know exactly what kind of blank cd thing I have to put in the drive. And do I use the one marked Lightscribe.
See, once I know what to do, I'll figure out how to do it.
I'm going to search my room to find one of the old blank ones but I won't use it until you say, "yes, use it.".
I know I used to have a case of them. Never used them but they are still around.
Are they still compatible with my windows xp, HP Pavillion media center.
And I should tell you what I tried to do last night. I was researching all about converting files and I saw something that said "drag the files into your itunes folder and you should have the songs in their". so stupid me, I go to my start menu, open up the explore thing, I find the "sonic stage" thing, I see the itunes thing, I dragged and sonic stage into the itunes thing and sure enough, right in front of me a little message popped up showing me it was "copying files to itunes". So I said "holy sh*t, I actually did it", "i'm going to see my songs in my itunes folder". Well, that didn't happen. I opened up my itunes library and only my original itunes song was there. No songs from the sonic stage library was put in.
I have no idea what was copied into what. So what exactly did I do?
thanks for any help about the cd burning thing.
I mean, I have this HP Pavillion Media Center and I want to be able to figure out how to use it before I turn 80.
Thanks much.
Melody

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