If the CD is copy-protected, it means the music company doesn't want you to copy it. It doesn't mean it's illegal to do so.
They can tell you that they don't like copying and can even try to prevent you from doing so. The fact is that you're not stealing from them, as long as you don't hand copies out to your friends/put the mp3's on a filesharing network/sell ripped CD's/etc... They don't lose anything from someone buying a CD and listening to it by himself/herself, be it an mp3 player, computer, CD, tape.