Basically, when you buy music from online stores such as iTunes, RealRhapsody.... they are actually DRM protected content and you will not be able to play them on mp3 players which do not support their formats. In such case, the option is to Burn those tracks to a CD and then rip them once again to the HD wherein the DRM will be removed and you will get the tracks in (DRM free) MP3 format. After this you will be able to transfer them to a memory card or to most mp3 players or mobile phones or PDAs...
In case you have purchased a great amount of music from these stores, you can go ahead and use TuneClone which acts as a Virtual CD-ROM drive on your PC, and lets you remove the DRM element without having to waste actual CD's.
You can check out the same at their website: http://www.tuneclone.com
to know the exact steps as well