Gromit's correct in that iTunes is geared up for iPods, so works with them especially well.
However, you can also organise and listen to your music with iTunes, then drag music from iTunes to somewhere else (for example, try dragging to your desktop), where the songs are copied.
If your mp3 player appears in My Computer as just another drive where you drag mp3 files into it, then you can just drag music from iTunes to your mp3 player's icon in My Computer.
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