I would assume it would be the same as a CD. You have a right to that CD, but not to the music. So while it is legal for you to listen to that CD on any device you want and transcode it to MP3, you can't go and download the song in MP3 format from someone else. That was how the my.mp3.com case turned out anyhow.

You should be legally allowed to transcode the downloaded file into whatever you want though. Audio CD, MP3, OGG, etc...