Yea the way i know will work is when pluggin in your mp3 player it should pop up as a drive on your desktop if you use OS X or if you use Windows then it will show up in My Computer or Windows Explorer. Within iTunes you select the music you like and drag and drop it on the drive, that should do it.
Edit: Oh i didn't realize the fact that you bought it from iTMS if thats the case in addition to what the poster above me said, you also would need to convert it from .aac to an .mp3, this is Apples way of thanking you for using the iTMS but disciplining you for not buying an iPod.