Method 1. Use iTunes to convert the songs to MP3, then you can easily add these files to your Windows Media Player library. Here's how: In iTunes, click Edit > Preferences. Under the "general" tab, click "import settings" and select "MP3 encoder". Now right click on the songs you want, and select "create MP3 version".
Now open Windows Media Player, and under the library tab, click "add to library". Then click "add" and locate the "iTunes Music" folder; usually it's under Documents and Settings > [your username] > My documents > My music > iTunes. Windows Media Player will automatically add all the playable songs it finds in this folder, which should be your iTunes songs.
Method 2: If iTunes won't let you convert, the songs are probably DRM protected. In this case, burn the songs to CD using iTunes, and rip the CD using Windows Media Player (click the "rip" tab)