The easiest way to share your songs from the iTMS is to download a copy of iTunes for your Win XP box. Then, you can either turn on the local network sharing feature, or just transfer the files to the other computer - they'll play just fine through iTunes.
As for the sound quality of the files, I'll let the audiophiles duke this one out. I don't really notice a difference, but I'm sure that we will hear quite a few differing opinions about bit rates and file formats and DRM and open-ness of standards, etc.
-- Ben