I think if you go to the pull down menu under "Advanced" and select "Convert Selection to MP3" it should do just as it says. (At least that's how it functions on a Mac.) I'm not sure why your Bowie songs didn't download as MP3's but regardless iTunes can convert them to MP3 to play on your portable MP3 player. You can also "Select All" and "Convert Selection to MP3" if you want all of your songs to be converted I believe. Let me know if this works on the Windows version.
Also, I see that the Windows version of iTunes has been updated to address some problems that some people have had. See:
http://news.com.com/2100-1040_3-5095039.html?tag=mac.nn