You need to convert them to MP3 rather than the Apple format - assuming your cd player can read MP3's -
You can convert within Itunes.
Um, no you don't.
iTunes can burn 3 different kinds of CD.
Audio CD should work in anything, MP3 works in certain players (ones that can play MP3s), Data - I've never used.
Drop your tunes into a play list, right click the list and select burn.