Because iTunes purchased music and video has DRM copyright protection, you have to remove the DRM at first, before you can convert/edit the audio or import it into Windows Movie Maker.
In order to play it on non-apple mp3/mp4 players, you need to remove the DRM and convert the protected music to other audio /video format. The easiest way is to burn an audio CD in iTunes and rip it back as mp3 format.
Or you can get DRM Removal Software:
http://www.dvdtoitunes.net/itunes-drm-remover.html
It’s not only DRM remover, but also a media converter!
Or,
http://download.cnet.com/DRM-Removal/3000-2140_4-10915841.html
Here is another converter:
http://www.youtubetoipod.biz/drm-remover.html
Other DRM Removal software programs can be downloaded from other sites on the internet. Simply Google: DRM removal downloads.