The music files (songs) used in iTunes are already saved on your computer (usually in a My Music folder, then in the itunes folder). This means they are already "on your computer"; this is so they can be used in many different media players on your computer. Just open the music player that you want to use, and go to "import library"(music will still be available in itunes and in the music player you have selected).
You can also burn the music files that you want onto a CD to use in your computer (i.e save them onto a CD). To do this, make a playlist of songs on itunes (by pressing the "playlist icon" on the left hand side, create a new playlist, then dragging and dropping songs from Music into the playlist). Then put a blank CD in the disk drive, click on the playlist that you have just made, and then click the "burn to CD" icon.
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Right click on them and select delete. However, this will only remove them from iTunes, not your computer.