When I burn a cd it is an application program not a audio cd.

The music and audiobook files you purchased from online stores are protected by DRM. But most mobile players doesn't support DRM format. However you can burn the protected music files to CD-R/RW disc to make an audio CD, then use CD ripper softwares to rip the audio cd track back to MP3, WAV, WMA etc.
There are two ways to convert M4P music to MP3. One way is to use itunes for sophisticated computer user, another way is to use third party program for beginner, which is much easier.Following the steps , then get your job one easily.
Part one: Using itunes to converting M4p music
Step 1: Run iTunes and set burner options firstly. You can choose
Edit>Preferences>Advanced>Burning menu and then select your CD burner.
Note: If you don't have a physical burner, you may use a virtual burner program, NoteBurner. Go to http://www.noteburner.com to download the program. After you install it, you can choose NoteBurner Virtual CD-RW as what you do in the first step.
Step 2: Create a new playlist in iTunes and add all m4p files you want to convert to this new list.
Note: If you use NoteBurner, you need to select the output format in NoteBurner. After you click Settings button, you can set the output as MP3, WAV and WMA.
Step 3: Click Burn Disc button in iTunes to starting the burning. If you use NoteBurner, this is the final step since the program can rip back the burned music automatically. The output folder will be open automatically after all music finishes encoding.
Note: If you burn the m4p files on real CD, you need to rip the music back in iTunes. Open iTunes Edit>Preferences>Advanced menu and click small Importing tab inside the Advanced tab to choose "WAV encoder" or "AIFF Encoder" in the "Import Using" dropdown. In the left-hand panel under "Devices", select the CD that you burned
Step 4: In the main window opposite, deselect any CD track(s) you do not want to convert. Right-click or control-click over them, and choose the "convert to AIFF" or "convert to WAV" option.
Step 5: After the conversion, you may find the converted file at C:Documents and SettingsAdministratorMy DocumentsMy MusiciTunesiTunes Music
Part two: Using third party program to convert M4p music
Comparing to the previous method, the following is more simple and easier, you can finish the job with just several clicks.
Step 1: Free download M4P Converter, install and run it.
Step 2: Clicking "Add" or directly drag-drop protected M4P files. Batch M4P to MP3 conversion supported.
Step 3: In the "Setting" button, choose MP3 format (*.mp3), you can also custom the music.
Step 4: Click the "Start" button to start converting M4P to MP3. After successful converting M4P to MP3, the result shall be stored on the "Output path" folder. Then you can use them for playing without any limitation.