iTunes downloaded audio files (M4P - "protected AAC") have DRM protection which prevent users from converting it to other formats or playing iTunes media with other incompatible players like Zune
So, you will need a professional DRM converter to convert the DRM M4P files to mp3 for zune.
Free download this converter, drag and drop the protected files to it:
http://www.wmatomp3-converter.com/digital-music-converter.html
It can convert the DRM protected music (wma,m4p) to any other formats and extract audios from DRM video (wmv, m4v, asf, etc).
Hope it helps