I can browse the store and even purchase music but it won't download because I don't have the privilege to make changes. What?

I had no problem being connected to the store and browsing.  I eventually bought a CD but it won't download it.  It won't download podcasts either.  It tells me that I don't have the privilege to do so and to connect my network settings.  This is the first time I'm using my MacBook Pro with iTunes.  What is wrong?

As it says on the page that you posted from :
If you download a rented movie on your iPhone 4 or later, iPad, iPod touch (4th generation or later), or Apple TV: It is not transferable to any other device or computer.
Why it's like that I don't think that Apple have said (these are user-to-user forums). If you haven't downloaded it on your iPad then have you checked to see if you can download it on your computer's iTunes (Store > Check For Available Downloads menu option) or Apple TV ?
If it doesn't show on either of them then you can try contacting iTunes Support and see if they will let you download it on a different computer/device or refund or credit you : http://reportaproblem.apple.com
If the 'report a problem' link doesn't work then you can try contacting iTunes Support via this page : http://www.apple.com/support/itunes/contact/ - click on Contact iTunes Store Support on the right-hand side of the page

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