Move Your Music
Obviously, before you can use iTunes, you need to move your music. When you run iTunes for the first time, it searches your hard drive to find the three music file formats it can play: MP3, AAC, and Apple Lossless. MP3 is an old standard, and, chances are, you have some songs of that file type on your hard drive. AAC is a secure format that Apple uses for music downloaded through the iTunes Store. Apple Lossless boasts the same audio quality of a WAV file at only 50% of the file size. Even so, this makes for a large file. If you have Golden Ears and can hear the difference, you will want to buy an extra hard drive and encode your material in Apple Lossless. On the other hand, if you are like me and either don't care or can't hear the difference, stick with MP3 and AAC.
You have probably noticed that WMA, the file type Windows Media Player likes, is not directly supported. Happily, as of iTunes 4.5, iTunes can convert unsecured WMA files on your computer to AAC format. However, iTunes will not directly play back WMA; it's an Apple vs. Microsoft kind of thing.