The first thing you need to do is to try lossless
DRM removal software. When using it you don't lose any quality and it is the fastest method unlike anything mentioned above. Besides lossless DRM removal tools are free. There are a few problems with such tools though. They are not distributed officially, so you can get a virus/spyware/malware when downloading software from unknown web-sites. Use VirusTotal to check your downloads with multiple antiviruses. Note that this won't give you 100% protection.
Another problem with lossless
DRM removal software is that it doesn't work with latest versions of Windows Media Player and iTunes.
If your content provider doesn't force to upgrade WMP 10, you can use
FairUse4WM (or
drmdbg +
freeme2).
For removing DRM from iTunes, you can use
Requiem.
Most users that can't use lossless DRM removal software, prefer to use
Soundtaxi or
Tunebite. These programs re-record music files from your sound card. They work much faster than in Real Time.
As for burning DRM-protected tracks, you need to create an Audio CD from them. Burning DRM-protected WMA, M4P to a data CD doesn't have any sense. Instead of burning your tracks onto a real CD, you can create a CD image (like .ISO) on your hard drive. Such images can be mounted using virtual CD/DVD software like a free version of Daemon Tools.