You will not always want to listen to music on you computer. With CD-R prices falling through the floor to near ridiculous levels, it is extremely inexpensive to burn your own audio CDs. iTunes makes it easy for you to burn audio CDs, too. All you need to do is create a playlist. When you have one created, simply drag some tracks into it. I recommend keeping it to about 70 minutes of music, which generally fits on the CDs you'll likely be using.
Next, you need to add a blank CD-R to your drive that burns CDs. iTunes will detect that you have added a burnable CD-R. In the top-right corner of iTunes is a circular icon that reads Burn Disc. When you select the icon, the disc changes to a pulsing hazard sign. By default, iTunes always burns at the highest speed your CD writer is set to. As soon as the disc is burned, the CD drawer opens. Presto, you have a brand new CD.
You can burn your purchased music from iTunes an unlimited number of times, which is not true of all web sites that sell music. For some reason, though, you can burn a playlist only seven times.