| Music from iTunes hasn't been copy-protected since April. However, if the player doesn't support MPEG-4 AAC, then it won't play them. You'll need to convert them to MP3 first (iTunes itself should be able to do this).
With video purchases, it's still a mixed bag. The movie/TV show purchases are always protected, but the music videos and some of the other oddball free videos aren't. Like the music, though, it depends on what the portable player supports - video from iTunes is in MPEG-4 AVC (H.264) format with MPEG-4 AAC audio tracks. If the file isn't protected, then you can convert it with something like ffmpeg or AviDemux, although you have to know what format your player takes and set those programs accordingly.
If they are protected, the only 'legal' way to do it is to use screen capture software like FRAPS to record the stuff while it plays in Quicktime or iTunes.
When you plug in the player, your operating system should detect it as a USB mass storage device or something similar. You can just copy and paste through the regular file manager (Windows Explorer, Finder, or so on) and it should work without problems.
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