I never had to convert any music when I "borrowed" it from other people or torrents a few years ago. All I did was drag it into the itunes library folder and the next time I turned on itunes... ta da!

To avoid DRM (digital rights management) on your music I would purchase it from amazon mp3 download section or any number of DRM free music sites. The amazon mp3 download program will send the music whereever you want it to land with no conversion needed. Amazon is where I buy all my music now. Sometimes they have some incredible deals, like 2.99 for the entire album of a big name artist.

As for connections to an existing stereo, an Fseries radio from back in the day, you're going to end up with a hardwired RF converter plugged directly into your antenna connection in the back of the radio, or else the age old nightmare of cheesy FM broadcast.

I'd personally go with an aftermarket radio with aux input ($100 isn't cheap but it's worth it in the long run).