Yes you can burn it to CD-R, although it may not be completely obvious how to accomplish this from the get go. I have Itunes version 6, since it screws up whenever I try to upgrade to 7, so I just gave up trying to upgrade.
Well here is how I burn a CD. Click on file and go to "create a new playlist". You can call the playlist the same name as the album for convenience. Then add all the tracks from the album you just purchased to your new playlist. Your newly purchased track will be found in the folder called "Purchased tracks". . I do this by highlighting each track, starting with the first one, left clicking and then clicking on where it says "add to play list". When you have all the tracks in your new playlist, open up that playlist and then click on the circular icon at the top right (it is called burn disk).
Some albums have digital booklets you can print up, some don't. Goodies that ordinarily come with an album when you buy it in a store, such as an accompanying DVD will not be included. This can be a good thing if you were only interested in the music itself.