Music Download Question

Okay, I'll admit - I have about 5000 songs on my computer and the vast, vast majority of them (okay, all but about 15) were downloaded for free. I'm not specificially admiting to downloading to pirated music for fear that those psycho record labels will one day use my blog against me in a civil suit. Anyway, as a maturing adult, I've decided I want to at least make an attempt to get some legal music downloads. The only problem is it's driving me crazy.
So I downloaded a few songs from Walmart.com since it was the cheapest I could find (88 cents), but then I discovered the songs downloaded as WMA (Windows Control Monger Format). So I figured that wasn't the end of the world - even though my ancient cheap MP3 player doesn't support WMAs, only MP3s - I would just convert them to MP3s - then I could use them in my MP3 player and burn them on CDs to use in my car (as WAVs). Nope - can't do that either - there is some stupid anti-piracy lock on the song (DRM or something) so I can't convert it to MP3 or WAV! Okay, so I OWN this song -I PAID for it - but I can't use it except on a new MP3 player or on Windows Media Player (which I hate and had thus deleted from my computer and had to reinstall just to hear my song). I want to listen to it in my car - but I can't because it won't convert to WAV. I want to listen to it in my crappy MP3 player - but I can't because it wont' covert to MP3!
So, my question is, after incessantly babbling, is there a music service where I can download songs that I OWN onto my computer that I can then convert to either MP3 or WAV for personal use on other devises other then Windows Media Player??? I looked around and could only find sites where you could get WMAs -but do they all have this lock on them? How can I just download my song for a buck and do whatever I want to it??? Any ideas? I don't want to stream music or listen to the radio - but actually download and own a song that I can then burn to listen to in my car. Thoughts?